World of Darkness - Mortal to Lost

The World of Darkness role-playing game focuses on mortals that become inexorably caught up in the shadows of the supernatural in a darker reflection of the real world.

Sometimes these mortals poke a little bit too far and they end up being drawn into the shadows themselves.

With Changeling: The Lost mortals are not just drawn into the shadows but bodily removed and taken away to be slaves in the distant realm of Arcadia.

Changing your chronicle from mortals to changelings is possible, and quite easy, within the new World of Darkness rules.

All it requires is adding the supernatural template and the character is ready to go - from a purely technical side. From the dramatic side there is a much greater shift that needs to be taken into account.
Taking your troupe and turning them all into changelings requires a bit of effort and will definitely change the tenor and mood of your chronicle in ways you may not expect. When the Gentry kidnap a mortal and drag him or her through the Hedge to a life of servitude they undergo an experience that is quite unlike any of the other supernatural lines. The Embrace, while harrowing, is quick.
The First Change was just waiting to happen.
Awakening brings wonderment and confusion but rarely distress. The Durance experienced by changelings, however, is a physical and emotional turmoil that can last for what feels like decades.
The character doesn't change because they want to or because of some inherited gift; their bodies changes in an effort to survive or through the cruel magic of their Keeper. And after all this it is only those with enough of their humanity left that manages to escape back through the Hedge to the world they once knew. Changelings come back to earth battered, bruised and abused.

Even if they hope to just pick up their lives where they left off it might not be possible.

Time has moved on, a fetch might have replaced them or they may have aged but she escaped at the same time they left.
From a dramatic perspective this is very important.
How do the characters react to their new existence? There is no way character can return from their Durance the same as they were before they left. Sure some measure of their personality remains but their time in Arcadia should have changed them in fundamental ways.

The once intimidating bruiser may have found himself treated to the same abuse he once visited on others. Does he gain sympathy for the people he once tortured or did his Durance make him even more callous? The handsome jock once had all the girls at his feet until a Lady of Arcadia stole him away and kept him as a beautiful prize that she used as she desired. Does he still cherish his good looks that got him noticed or does he rather try to keep a low profile in case she comes back? These are just some examples of how a character can change and these are questions the storyteller has to ask the players.
As this is an important part of the character's new existence it is a good idea to run personal sessions with each of the characters.
In these sessions you can detail the escape, meeting up with old friends and joining one of the seasonal courts. If the troupe escaped as one then run it with all the players.

Just be careful not to run personal character stories with the other players present. Depending on the player these stories could take some time and there is nothing worse than waiting idly by while one character relives his entire Durance. While these details are important they shouldn't be favoured above the actual chronicle. Some players don't care too much about how they escaped and how they joined their court. Others like taking their characters through this process. Don't bore action-focused players with dramatic details, but don't gloss over the details for characters that like the melodrama. Generally learning contracts, meeting other changelings and getting to know the local freehold should be glossed over in downtime unless these are important to the chronicle arc. It is easier to assume that the characters went to the trouble of getting to know their neighbours than sitting for hours role-playing every little meeting the characters have with a new face. The transition from mortal to changeling is a profound one.

Players should realise that their characters have undergone a fundamental transformation and that the mortal self has been left behind. With a transition to changeling it is important to highlight the changes but also the wonderment of their new existence.
Don't harp on too much on the suffering - after all, that is one thing all changelings are trying to forget.