How to Move from BlueHost to my own server?

Ok I started using BlueHost initially because the ease of installation of WordPress and we wanted to test out WordPress first before we were sure this was the solution. Now how do I move it out so that we can host it on our own server. They are asking me to send them the files but is it a matter of just copying and pasting? Do I just compy the wordpress directory and give it to them along with a copy of the MySQL database? Any links to instructions on how to do this would be appreciated.