Once you have your theme installed, it’s time for the next big step: exporting your content to your new site.
In your WordPress.com dashboard, go to My Site → Settings and select the Export tab to download an XML file of all of your content. Click on the arrow next to the Export All button if you want to select specific content items to export.
In the WP Admin area of your self-hosted WordPress site, go to Tools → Import → WordPress.
If it hasn’t been installed yet, you will be prompted to install the WordPress Importer plugin.
Choose your file, click Upload file and import, and select the option to Download & import file attachments and import your XML file.
The WordPress.org Importing Content page has more information about this process as well.