The only issue you'll have swapping platforms is you lose all saved character creation data, all saved armory sets, and all hotbar settings. So, make copies of your macros, screenshot you hotbars and HUD layout, and get ready to do some house cleaning when you log into the new client the first time.

Everything is set to default as that kind of data is saved to the individual platform. All character data (like levels, story progress, currency, basically anything you can look up on the Lodestone) will be just fine as it's part of the account itself.

I had to go through all this when I had to move to PS3.