Can I change Permalinks structure once a site is live?

Hi,

I set up my site with the default permalink structure.

I would now like to change it to one of the other ‘canned’ options, ie the ‘month and name’ option.

I’ve heard that it could be a bad idea to change permalinks once you have published a site. Is this true in this instance? I would imagine that there are possible issues with customising the structure once you’ve published or with altering individual page / post permalinks but surely the ‘blanket’ settings should be OK?