WordPress.com Premium themes cannot be used outside of WordPress.com and would not be included with the Guided Transfer service. In fact, you would need to switch your blog to one of the free themes before Guided Transfer would be available to purchase.
Rootjosh, Raincoaster thank you for the replies. A followup question then. If I pick another theme on .org or purchase etc. Can I still export my content in a guided transfer or on my own? Or would you suggest changing the theme/appearance after the export is completed