Not too complicated. The following assumes you have your new non wordpress.com blog up and going.
In your wordpress.COM blog, you’ll visit Options -> Reading and set the Syndication Feeds “Show the most recent:” field value to a number at least as large as your number of posts.
View your feed in the .COM blog in your browser. Save it as a text file to somewhere that you can find easily (desktop works).
Now, at your new blog, you’ll visit the Admin -> Import section and click on RSS. Point it to that feed you just saved from the old blog and turn it loose.
Not too complicated really. Was going to point to some Codex articles, but they’re a bit outdated… alas.