I've changed the Feedburner settings, so hopefully this post will be showing up in your feed reader or e-mail just as it usually would. (If you recently saw a bunch of older posts dumped into your reader, it had something to do with the address change/re-set of the feed.) I've been monitoring the feed from my end, and it seems to be picking up everything, so I think that worked - you shouldn't have to change your subscription settings at all.
Bookmarks and links are supposed to redirect from the Blogspot address; if you've linked here, you may notice the change in the links themselves without your having to do anything. Searches should still end up here with no problem. If you have the site bookmarked or listed in your blogroll, you might want to switch to the new address within a few days, once it's "live" all over the Internet.
If you notice any problems, please let me know about them!