Do note that there are some restrictions for all this, notably:
Contacts: There’s a possibility that only a random selection of one hundred contacts will be copied to SkyDrive. If you have more than one hundred contacts on your current Nokia phone, create your Microsoft account on your Nokia Lumia phone. Then all your contacts will be copied from your current Nokia phone to SkyDrive and from there to your Nokia Lumia phone.
Calendar: Repeated calendar items cannot be copied. If you have repeated calendar items on your current Nokia phone, you have to create them again on your Nokia Lumia phone.
Photos: There’s a size limit of 2048x2048 pixels for photos. Photos larger than the limit will be downscaled. If you want to copy photos in other formats, or photos over the size limit, or photos from your computer, use the SkyDrive application, which you can download to your computer from the Microsoft website.