* Download MultiBit, start it and let it fully sync with the blockchain;
* Set up your wallet in MultiBit and encrypt it with a strong passwork; then,
* Send your bitcoins from the blockchain wallet to the MultiBit wallet.
You can even do the sending in two or more pieces, if you don't want to make the transfer in one large transaction. When I first did this [Coinbase -> MultiBit], I sent a tiny test amount first, then the balance that I wanted to move.
This procedure will cost you only a couple of cents (transaction fee) for each transfer. But it's incredibly easy to do and much safer!
Yes, this procedure is easy but it's not recommended if you worry about your privacy. Unless you use a laundry machine but in this case it will cost you a little bit more.