moving from wordpress.com to .org, doubts and questions

So I’ve been working on my website in wordpress.com using all the online user interface to build it.

I wanted to push things a little forward so I went and downloaded wamp + wordpress and want to start working at local.
But I’m not quite following how the workflow is and hoping you can help me out.
– How do I move from online version to local version?
– Can I export import the web I already build in the “browser-online” version to local? (I tried and exported and xml from “dashboard/tools”.. is that the way to go?)
– Once I finish my web localy and want to upload it by FTP, I can keep my url “myurl.com” that I already bought & have, right?? If so, how?

I tried to search for some information about it in FAQ but wasnt able to found nothing…
I got the idea that the work and purchases + add-ons purchases that I made at wordpress.com can’t be used at www.ads-software.com … is it?!
Are they such separate worlds? I now have two log ins for each one.. I guess they are