Transfering blog content to new host.

I think I am too affraid to try this. I want to transfer this blog to my own host but I am affraid of loosing everything. If I do end up getting enough courage to do this I can follow the steps offered by on about.com. I lost everything on a forum once and I was so upset. I think it would be ok as longs as I back up all the files. Well will just have to wait and see.