What do I have to do to make the switch?
All you need to do is configure your email client with your preferred protocol. In this case that would be IMAP. It's as simple as that.
Does this change make sense?
Without a doubt. We could say that the POP3 protocol is outdated and not prepared for modern life. Nowadays, we want to be able to access our email from many different devices. Therefore, the ideal is to use the IMAP protocol, which is specifically designed so that all your devices read email at the same time and all share information. So the switch is entirely recommended — at least if you're a modern person ;-D