neplusultra, while, for the apparent reasons, there's no an official and hence *supported* way to redirect your entire blog hosted on wp.com, it could be done quite transparently without losing any links you might have.
however, this method will only work provided by and as long as you pay the $10/yr for the "custom domain" premium feature.
basically, all you need is:
1. to change your NS pointing back to your new domain once .com one gets redirected -- one guy even came up with a step-by-step tutorial.
2. and install a relevant plugin to maintain your permalink structure.
what really makes me wander is, whereas this question pops up here so often that it could be quite legitimately qualified as a very FAQ one, still there's no any info regarding this issue on the FAQ blog itself.
which makes all the folks who would like to move their blogs from .com ending up here, in these fora, just to get not exactly useful replies suggesting them to either put up a “I have moved” post (which is so '96/Web 1.0 nowadays) or even to ask someone getting bothered with editing their links (I can't even really stress here how much this latter one is such a straight... well, you know).