Yeah, I thank my stars that I had the sense to do this almost 2 years ago. It really is much better. Another neat hack of using your custom domain is when people ask for your email address you can make one up without you appearing in their chat list. So for instance on Google Talk you're registered as iam@firstlastname.com, you could simply give them i@firstlastname.com so they can still converse with you (catch-alls ftw) yet they don't annoyingly appear on your Talk list.

And yeah, changing providers is just a matter of altering a field or two in the host records page.