The transition has been pretty smooth, but I just thought I'd post a few points about the change in VC Directories as there was a peculiar problem.
I don't know if later DXSDK releases have fixed this, but there is a problem with objidl.h that occurs if you have the DXSDK directories listed before the Windows SDK directories in VS, certainly with DXSDK Nov 2007 and back.
In 2008 this was trivial, since you could move the directories up and down via the Tools.Options.VC Directories page. This is now deprecated in 2010 though and took a bit of creativity to rectify.
Firstly, go to Tools.Settings.Expert so you have the Property Manager option in the View menu.
Open or create any project, then View.Property Manager. Uncollapse the project in the manager, then the Debug or Release folder, and right-click on Microsoft.Cpp.Win32.User. Select Properties.
You can now edit the library and include folder settings that will then be imported into any new projects.
However, because all the default directories inherited from the parent or whatever are not part of the user list, it is not possible to include the SDK headers before the DXSDK.
So, edit the Include field, untick Inherit from Parent or Whatever box, copy-paste the lower list into notepad, then manually add each directory to the top box. Fiddle with the order till happy, then repeat for the Libraries.
Close VS and it will ask if you want to save an external property page. Say yes and you're done.
Hope this may be of use to someone. Took me a little while to figure out as there are blog posts galore on the new Directories system for 2010, but very little information on making it play nice with the DXSDK. The errors that the above solution fixes in relation to objidl.h are also a bit obscure in typical C++ style as they don't really give a lot of clues as to the source of the problem.
With my recent reinstall of the final VS2010 install I've even changed it so that the project itself holds the directories and the DX (and FMOD) directories are first in the list and everything compiles without any problems.