Export and import is really easy; you will not lose anything already on your live site. Actually, that is the reason I suggest this to forum users: you can continue to post and use the live blog while you experiment with the test blog as much as you like:
from your live blog:
It’s your content; you can do whatever you like with it. Go to Tools -> Export in your WordPress.com dashboard to download an XML file of your blog’s content.
note: don't bother trying to open that file—just be sure to save it where you can easily find it again. Best not to change its name when you save it.
For the experiment blog:
You can also easily import content here from another WordPress.com or WordPress.org blog or web site (choose the WordPress option).
Once complete, change themes on the experimental site to your heart's content! One thing I would suggest is to save custom text widgets to a plain text file (just in case). Meanwhile continue posting and updating your regular site as usual.
(edit to add: changing themes won't loose anything. It's sort of like changing your dress—you may need some different accessories, but it's still you there)