Its been done many times and quite easily. Just plan your move and you'll be fine. Sheets are binary compaitble so thats not a problem. It's a good idea to rename all your sheets to the .SHE convension during migration. This can be easily done with a UNIX script.
Highly recommended is NG update training for Classic users and immediately following training make sure they don't go back to using Classic!
In general, its a good idea to migrate. NG has a lot of nice features that you don't have with classic and more functions from the Medas-X world are being brought into the Stheno/Medusa 4 platform.