Its a very easy process...
Migrating from WordPress.com to WordPress.org
Here’s what you need to do:
Get a domain name [ advertising removed ] – it is possible that you already have this if your WordPress.com blog is http://www.something.com rather than http://www.something.wordpress.com
Get a webhost I would recommend [ advertising removed ]
Change the name servers at the domain name registrar
Set up WordPress at your new host
Export your posts, pages, comments, custom fields, categories, and tags in a file to your computer (XML file)
Import the file you just exported from your WordPress.com site to your new WordPress.org site
Customize your installation with all the lovely new themes, widgets and plugins you can get your hands on!
Get a domain name
Your domain name is the bit that goes after the www. I used to recommend [ advertising removed ] as it is the cheapest.
It may be that you already have purchased a domain name for your WordPress.com site in which case the name servers will be ns1.wordpress.com and ns2.wordpress.com.
Get a webhost
If this is your first time looking for a host you need to get a good shared hosting service for WordPress.
I would recommend [ advertising removed ] (fantastic value and fantastic 24x7 support and the cheapest).
Change the name servers
Change the name servers at your domain name registrar. So whether you use [ advertising removed ], you need to head over there and fill in the name servers you got from your webhost.
nameservers pointing to [ advertising removed ]
They usually say that this change takes 24 hours to propagate through the system. In effect this usually takes only an hour.
Set up WordPress
Once the name server change has taken effect, install a new version of WordPress at your new site.
In our example, [ advertising removed ] (as well as most other hosts) have a very simple one-click install of WordPress.
install wordpress one-click [ advertising removed ]
Export XML file at WordPress.com site
At your WordPress.com site, go Tools > Export (choose the free option!) and then choose what you want to export. I exported everything: my posts, pages, comments, custom fields, categories, and tags into a WXR file or, WordPress eXtended RSS file, basically an XML file specific to WordPress.
export at wordpress.com
Import XML file at WordPress.com site
And then, log in to the back end at your new WordPress self-hosted site and navigate to Tools > Import. Click the WordPress option, install the importer and upload the XML file you just downloaded.
Themes and Plugins
You may like to keep a note of any functionality that was added to your WordPress.com blog that won’t be carried through on the XML file (things other than posts, pages, comments, custom fields, users, categories, and tags).
For example, you will have to download and reactivate the theme you were using at WordPress.com to make your new blog look the same.
And you may want to install and configure Jetpack and other plugins to provide features that you had been using on WordPress.com. If you have comments enabled, the Akismet comment spam protection plugin is virtually a must.
Maybe you have a lot of content that ranks well in your old WordPress.com site, the new site would lose all that value as the URLs will all be different.
If you would like to redirect the old URLs at yourblogname.wordpress.com to new URLs at yourblogname.com, WordPress.com does this for a fee of $12/year.