Changing the module field is basically what needs to happen, but there's an easier way to do it. If you create a product class called "my_cck_product_type", it will do that for you. And it's reversible, so if you later delete the product class, all of those nodes will go back to being regular nodes.

The Catalog module should let you set which vocabulary to use. Changing the nodes to products shouldn't affect the vocabulary since it's based on node type. The actual name of the node type hasn't changed, so as far as taxonomy.module is concerned, nothing has changed. However, if you are using more than one vocabulary for your nodes, you'll have to pick just one to be the Catalog.