Transferring a custom domain name from Blogger to AppEngine
This is actually much quicker than I dared hope. Using a third-party registered custom domain (ie. not bought through Google), both Blogger and AppEngine require that you set a CNAME DNS record with your domain name registrar to point from your domain name to ghs.google.com. Since both services require the same external DNS config, there is no delay while DNS records are propragated between ISPs like there normally would be with a change of hosts.
The one gotcha to look out for is that attempting to link your domain name with your AppEngine application before removing the association with your Blogger account will not work, but doesn't (currently Apr 2009) give an error message to explain what the problem is. So make sure that you tick the box to use the *.blogspot.com URL instead of your own domain name in your Blogger Settings>Publishing panel before allocating the domain to your AppEngine app. Having verified my domain with Google Apps, the change between Blogger and AppEngine was nearly instantaneous.