well, why not back it up before changing the settings? that way, if you do lose any info, at least you could still recover it..

I don't remember the name of the plugin, but there use to be one that was built for this purpose. It would change all the permalinks, and then create permanent redirects for the search engines.

Otherwise you have to do it manually, which can be a real nightmare if you have a lot of posts.

Yeah. I tried changing my permalinks 'after the fact' once, and it was a nightmare. 404's galore. lol. Haven't tried the plug-in, though.

Here's one plugin that claims to do it, but I haven't tested it and it was posted in 2009, so it may not work with WP 3.1: Permalinks Migration: Easily change Permalinks of wordpress blog

Earlier permalinks will remain as they were, new posts will be created with the new permalink structure.

Nah, nothing will change exept the way SE's and people read your links. Usually you have to manually change them. You can change those permalinks any time you want so instead of a link looking like this http://yoursite.com/p?=345 it would like like http://yoursite.com/my-post-about-whatever. To do this, just click on permalinks, click on custom structure and type in /%postname%/ I do mention a trailing slash, for some reason it makes loading faster although I fail to understand that... A wiseman once told me to do that and it worked

In the case of permalinks, search engines read them like a human does. Many go and do something like this: http://www.keyword.com/keywordagain and yes, it does work

The old posts will be there with the new structure. You should 301 redirect the old URLs to the new. There are plugins that can do this automatically.

I use the plugin called Dean's Permalink Migration. Does the trick to redirect old urls to the new permalink

It could take days or weeks depending on a number of factors such as how old your site is, how many links you have, how much authority your site has, etc. A few weeks is probably a safe bet, and most plugins that let you change permalink structures will setup 301 redirects to point to the new location, so you should be fine.

What smorse1 said is correct. Keep the 301 redirects up permanently. You never know when Google or MSN's bots will follow a link to the old pages and think they're new since they were deleted. The 301 tells the the bots that the page has permanently moved, so just keep them there, they don't do any harm.