The easiest way to do this without losing your traffic is to use the WordPress.com Site Redirect. It keeps the yourblog.wordpress.com address active and points traffic to your new yourblog.com domain. You would be essentially paying the registration fee for your old domain at $12.00/year.
Periodically through this process you should be informing your readers to visit you at yourblog.com so that you can stop paying for the redirect after a year. Begin promoting the new address in your email signature, forum posts, etc. until people are used to the new address, then let the site redirect lapse.
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