Convert from CCK field to Location CCK field

There is no automated conversion in the location module. You would probably have to write a script that manually makes the change.

You could create the new location field.
Then write a script that gets the node ids of all the nodes you want to convert, then for each one it would:
* load the node
* Set $locations = array();
* create a location array for each location on the node (see the 'location' database table for the fields in the location array, or devel load a node that has a location on it or something)
* add the location to the $locations array,
* then when you have done all the locations for that node call location_save_locations($locations, array('nid' => $node->nid, 'vid' => $node->vid));
* then for cck data do something like:

foreach ($locations as $location) {
  $node->field_fieldname[] = array('lid' => $location['lid']);
}

* Then do a node_save.

That's basically it I think so with some tweaking you should be able to get it.
It isn't the most straightforward process though, it's not a simple requirement.

There might be some way of using some sort of drupal node export/import modules to export the node data to a csv and then back in from the csv to different fields. You would have to do some searching though as I'm not 100% sure what is out there that might work for such a thing.

The custom script would be the best way if you have coding skills or can afford to pay someone who does.

Marked #726400: importing data from (normal) cck fields for street address and city into location cck fields as duplicate of this issue.

#740970: Migrate data from Addresses Module to Location CCK Module is a similar issue but it related to migrating from the address module instead of a regular cck field.
The approach used there is a little different but might be of use to people looking for more information.