You can either tranfer your data by following the instructions in the online manual (this process tranfers ALL data) or by using a memory stick (this only tranfers specific data). The first can take a long time, depending on how many accounts or games you have stored.
I did the whole Data Transfer process using an Ethernet cable. Worked like a charm. All accounts and game data transferred successfully. Had to rebuild icons in GT5, but that was only a minor one-time annoyance.
