I went in cold turkey, which was probably easier than for Dvorak, but still a pain. Anyway, after a couple of days I could type slowly again, and from that point on (taking notes using my laptop daily), the situation improved.
After a shorter than expected time, I was up to my old typing speed again. The downside: I lost my ability to type blindly on a QWERTY keyboard. On Macs, smartphones and linux computers this is not a problem as switching them to Colemak is trivial when I have to use them longer, but for Windows computers it is occasionally annoying. I do have a portable executable that switches such a system on a USB-stick I carry on my key ring, but it's still a pain.
Anyway, the end result is that I type faster now then I did, and the smaller distance your fingers travel does result in a more comfortable typing experience. I would definitely make the switch again with the knowledge I have now. That said, it's probably only worth it if you actually type a lot.