Wordpress.com is a whole different beast from the Wordpress software. WP.com uses the WP software and shoves it into a shared hosting environment. So you can't do most things you can do elsewhere.
If you are using your own domain, just move your blog off WP.com and host it yourself. You can retain the same URL structure doing this.
If you're using myblog.wordpress.com, you're a LOT more limited. My suggestion would be to do a poor man's 301. Copy your content to the new blog, then gut the old URL and put a link to the new URL. This is not the preferred method but it lets you keep your traffic and still pass some SEO. Since it's not duplicate, it will eventually cause your new page to rise and the old to fade.