You would need to:

1. Set up [Google Webmaster tools](https://www.google.com/webmasters/tools/) for your wordpress.com blog ([here's how](http://en.support.wordpress.com/webmaster-tools/)).
2. Set up your new self-hosted WordPress blog to use exactly the same permalink structure as the wordpress.com blog (don't worry, we'll fix this in a minute!).
3. Export your content from the wordpress.com blog.
4. Import that content into the self-hosted blog.
5. Change the permalink settings on the self-hosted blog to your preferred format.
6. Purchase and activate the [Site Redirect](http://en.support.wordpress.com/site-redirect/) product from WordPress.com, which carries a small annual fee (see the [product page here](http://store.wordpress.com/premium-upgrades/redirect/)).
7. Add your new site URL to Google Webmater tools, then tell Google you've changed your site address with their [Change of address tool.](http://support.google.com/webmasters/bin/answer.py?hl=en&answer=83106)

Now, when a user visits `youroldblog.wordpress.com/old/permalink/style`, the Site Redirect product at wordpress.com will send them to `yournewsite.com/old/permalink/style`, and then your self-hosted WordPress blog will automatically rewrite that URL to `yournewsite.com/NEW/permalink/style`.

This works because you changed the permalinks after importing the content, and your self-hosted WordPress "remembers" the old URL style and automatically rewrites it if you change the permalink structure. This tip assumes that you haven't yet imported the content into your new site. (If you have, you could delete it, change the permalink structure to the WordPress.com style, then reimport it again, assuming your new site doesn't have traffic yet.)

This redirection setup, combined with the "Change of address" tip, should help to reduce negative effects caused by the move.