I have a test site that I run everything through before changing anything on my website. If you haven't done this already I would advise you to set up a site rubix website in the same theme as your current website and use it to test things. I set up the theme in my test site first. Then I changed my website to the Sydney theme.
At this stage there are a couple of things you need to watch out for. Those little snippets of code you added to your site for Google Analytics, Bing Webmaster Tools or whatever, may not carry over when you change your theme.
It is important to go into your editor and check they are there whenever you change your theme. You also need to verify them again just to make sure they are working OK.
Make sure any snippets of code you have added to your website are still there when you change your theme.