This is my suggested order for things.
1. get the blog here if you have not already and set it to private (settings > privacy).
2. Export all your stuff from the old blog and import into the blog here. http://en.support.wordpress.com/moving-a-blog/#moving-from-wordpress-org
3. Once that is complete and you have the blog here together, go to the registrar for your domain name and change the DNS records to point at wordpress.COM (see first link in #2 above).
4. A few hours or so after changing the DNS records at your registrar, go into your new blog dashboard here to settings > domain and put in your domain name and purchase the domain mapping upgrade: $12. You do not need to register a domain name since you already have one. At this point, go back to settings > privacy and change your blog to public (top selection) and save.
5. It will take anywhere from a 24-72 hours for the DNS change to propagate through all the internet nameservers although lately it has been happening in anywhere from 3 to 12 hours in most case.