That was my biggest issue with switching as I have hundreds of entries in LastPass. I spent a few hours moving over my most important/frequently used entries. For the "leftovers", I simply move 'em from LastPass to KeePassX as I need/use them.
I just figured out I could get the portable LastPass -> Export CSV, and then import that in KeePass
Just make sure you don't have some sort of system-wide backup in-place that's going to backup the CSV file, in clear-text, on your disk during the migration.
Great! What I did was download Lastpass Portable Version and then exported it as a CSV and imported it into KeePass. KeePass already seems more ideal than LastPass.