Export from wordpress.com to self-host issues

I’m trying to export a blog from the wordpress.com host to a self-hosted site. I’ve tried using the “Export” tool, but every time I run it, not all of the posts will export (or maybe the new site won’t import them). Does anyone know a way to work around this?

If I try to just export the posts by date (say from beginning to June 2011, June 2011 to July 2011, etc), would that work? Would only the most recent posts be kept by the new site (instead of from beginning to July 2011, just June 2011 to July 2011)?

The new site is hosted by fatcow in case there’s any known issue there.

Thanks!