What is the Transfer my Data application on my Lumia with Windows Phone 8?

With the Transfer my Data application you can copy your personal data from your old phone into your Lumia device by first pairing the devices. You can choose to transfer individual data such as contacts, text messages (SMS), pictures and DRM-free music.

The only requirement from the old phone is Bluetooth (via PBAP or SyncML) support. These devices include Symbian, S40, Maemo and non-Nokia devices. If you have an Android device made by Samsung, you can also transfer text messages via Bluetooth MAP.

You can also transfer contacts with an SD card if the contacts were saved on the card in a compatible format and your phone has an SD card slot.