It makes little difference whether you transfer the data file before or after installing Office 365, though transferring them beforehand may get Outlook to automatically import the pst files. Conversely, with Word, Office 365 uses a different Normal.dotm template to Word 2010, so transferring that file, in particular, after installing Office 365 will result in Word 365 defaulting to the older Normal.dotm template. AFAIK, if you transfer it beforehand, Office 365 simply renames it so you don't lose your macros - but you will lose any customisations to Word defaults you'd made.

As for which pst files to transfer, in Outlook go to File|Account Settings>Data Files to see which ones are in use.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]