Congratulations! You have taken a huge step in the right direction. The hardest part for me was getting used to cooking without sugar, grains, and dairy. Once I got the hang of that part the rest was pretty easy. What's worked best for me is to plan a week of meals out in advance and shop accordingly. And remember, you can't overeat on protein and fat. Eat until you're sated and don't be surprised in a couple of months if you find yourself going longer and longer between meals. I now fast almost daily for 16-24 hours and this is without being hungry. (Keep in mind I didn't start Intermittent Fasting until three months into Paleo and I eased into it!)
As far as what to expect, I didn't have any negative physical issues - just good ones. Within my first 30 days the inflammation in my legs disappeared, my lethargy went away, my joint pain was gone, and I lost 12 lbs without exercising at all.
What's been crucial for me has been having a support system. I don't have anyone in my immediate circle who knows anything about this lifestyle so I had to go to Twitter and Facebook to find others who could keep me motivated and excited. And it's worked! I've been Paleo for nearly six months and I haven't felt better. I've lost a total of 60lbs so far and it has been EFFORTLESS. I can't imagine living any other way now. :)
Stay focused and if you feel yourself slipping back into old habits, do NOT beat yourself up! Just take a deep breath and start right back again. Some of the best advice I received was to take ownership of your choices. If you choose to eat something that you know isn't good for you - own that decision. Accept it and move on. Fixating on the negative detracts from all the good you have done and can all too often keep you from going on to do more good. Blow the bad decisions off and get right back to it. No one is keeping score and you're not on a time limit. I will only suggest that you stick to it 100% for at least the first 30 days. This gives your body time to recover from all the possible negative effects of those various deleterious foods. By the time that 30 days is over you won't even miss those foods. :)
Stay strong and positive and remember why you're doing this. Be the best YOU you can be. :)