Once your web hosting and you have installed wordpress on your hosting account. Go into your wordpress.com blog admin area. Go to:
1. Manage Tab
2. You will see under it Posts, pages, etc.. Click on the Export tab.
3. Export tab: will let you export (almost) everything to your computer. It does not save your blogrolls, but does save your posts, categories, comments, and custom field. Click on Download Export File. A box will pop up and you want to click the box for Save to Disk. This then will save to your computer. Remember to which area that you have saved it. If you can’t find it on your computer. Open the search box (on your task bar Start>search>files or folders and put the name of the file – usually called http://yourdomainname.wordpress.com)
4. Open your new wordpress blog at your hosting company.
5. Go to Manage Tab (again) Click on Import tab
6. Import Tab: They will have a list of different types of programs. Go to Wordpress link and click on it. Now use the browse button to find the wordpress.com information you exported above to your computer. Click on Upload file and import.
7. All of your posts, comments and all are now in your new blog. Make sure you keep the old blog at wordpress.com and add a post on there to let people know you have moved to a new “place”.
Many of the web hosting plans have the ability to add the wordpress (or other blogging software) to your new domain. If at all possible use the one click installation of the blog to help with your move, it is much easier to do.
Enjoy your new location and control over your blogging!
Tags: add blog to host plan, cheap hosting for blog, help, how to host a blog, move wordpress blog to paid hosting

Thank you – you rock! I wanted to do this and posted on the Wordpress forum and the answer I got back was a useless reference to their pro support forum which is a list of subjectless posts…not terribly helpful.
This on the other hand worked like a dream – a thousand thank you’s.