I just did this last week for my own personal site and this is what I did:
1. Using FTP, I copied over the system directory to my server and changed its name to something a bit more unique.
2. Using FTP, I copied over the *contents* of the EE images folder into the already existing images folder on my server.
3. I renamed the core index.php file to eeindex.php (since pMachine Pro was already using index.php), and then I copied it, install.php, and path.php over to the main directory of my site.
4. Set permissions for the specified directories and files, and then I ran the install.php file from my browser.
5. I went into the Control Panel and modified General Configuration and Weblog Management to have my main site file as eeindex.php instead of index.php.
6. Got lunch.
7. I made a backup of my EE database using phpMyAdmin just in case I made any mistakes and wanted to revert back to a perfect install.
8. Went into Weblog Management and I created all of the weblogs from my pMachine Pro site and set their preferences.
9. Change the default formatting option for all the fields in the Default Field Group to ‘Auto <br />’, since that is the pMachine Pro default. Also, I decided to create a custom field group specifically for one of my weblogs, since the one created on install did not have descriptive enough names.
10. Created a new member group for a few friends who are allowed to post to some blogs but not all.
11. Using the pMachine Import Utility in the Admin section of the Control Panel to import all of my members. Assigned some of my members to the member group created in step 9.
12. Went back to the pMachine Import Utility (you can do it piece meal like this, if you want, or all at once), and I imported all of my entries.
14. Not all of my entries imported perfectly so I scrolled through the default template and fixed them in the Edit area of the Control Panel. Probably about 15 out of about 1500 total were a little funky.
15. Spent a few hours playing with templates and template groups to match my new design, which looked a great deal like the other one but using completely different HTML and CSS.
16. Using .htaccess and this knowledge-blog entry I removed index.php from my URL structure. Sweet trick...very nice.
Yeah, that was pretty much it. I probably spent about two hours doing all of this, and then another five hours or so playing with the templates and creating pages for the blogs.
