Dont worry - the address and rss feed for my blog will remain the same. I have just moved from wordpress.com to hosting my own blog using BlogEngine.net. I just got too tired of the lack of customization available on wordpress.com.
I have to say, the move was much harder than I had anticipated. Getting my data out of wordpress.com and into BlogEngine.net required a bit of work. Wordpress exports your blog data in its own xml format which is not in the BlogML format that BlogEngine supports. I ended up writing some code to just parse through the wordpress xml file (using Linq to Xml of course) and insert the data straight into BlogEngine. If anybody is interested in the code, let me know and I can share it with you.