Changing Category for a Post

I am new to WordPress so please pardon my [most likely] simple question.

I had setup 2 posts and 2 categories. For one of the post I chose wrong category. Now I want to switch the category from wrong one to right one but there are already many comments under the wrong category.

Just wondering if I make the category change, will I loose all comments. If yes, then is there a way to move all comments also when changing cateogory.

Thanks a lot in advance for your help.