Hey Simon -

I have been in the process of switching since the new MBAs came out in June of last year, and have been doing relatively decently at it.
The biggest problems I have come across are how to browse the Finder using the keyboard (in Windows Explorer, a quick Alt+D, and typing a few letters, tab, a few letters, tab, etc... got you right where you needed to go) I finally worked around this in Finder by learning Command+Shift+G and typing, tabbing, etc...

The other one that I still find troublesome is the inability to right-click and select New File.
I am a bit of a file freak, and I REALLY relied on this in Windows.
Browse to the directory where you will store a new file, right click, new (Text, Excel, Word, what have you) file, name it, open it and get cracking.
In OS X I have found a few script ways of doing this but nothing very intuitive or simple to use.
Can you use any of your resources to find a better option for us?

Good luck - and thanks!
JN