You should be ok, but if you run into issues you'll have to go back to stock then OMFGB. Switching ROMs for me has been fairly painless if I wipe first, but switching to CM7 I had to go to Stock first.
EDIT: Scratch that,
- Going to another ROM from CM7?
You must flash a full Odin package with PIT, and make sure to check "repartition". This will convert your filesystems back to BML/RFS. You will now need to re-root your device, install recovery, etc to flash other ROMs. Do not ask here how to do this.
Please visit the CyanogenMod Wiki for step-by-step installation walkthroughs and tons of other useful information.
http://forum.xda-developers.com/showthread.php?t=1190668