I am having a similar issue. I need to convert my customers into projects. Since they are all currently customers & not sub-customers, i created new customers. Then I made my existing customers, which have all my transactions tied to, sub customers of the next customers. 

After this is completed, I have tried over & over to follow the steps listed & I am never offered the option to merge the new project & sub customer so that all of my transactions transfer also. Is this possible to do this way or am i doing something incorrectly?