Putting up a notice on the homepage and allowing users to go in and delete their information is great. I'd definitely set a time limit on that based on how often the majority of users come to your site, say if you know your return customers come back every month than you leave it up for 30 days, if it's every 3 months, you leave it for 90.
I'd be very clear in the copy what you're doing with the customer information and insure their privacy and respect of their information. If you're migrating that information to your other site, let them know. If you're deleting it, let them know to.
Same with the email newsletter people. Send them a notice via email and let them know about the site closing, what's happening with customer accounts, and if you're moving their emails to another newsletter. If you are, you might consider having them re-opt in for that newsletter.
After the time period, I'd 301 redirect it instead of building a 404 page. This is going to be better for your SEO and the vast majority of your customers will already know that you closed the site and that they could visit your other site. 301s are permanent redirects. They are valid as long as the file that redirects them is live on the web.