It gave me the option to transfer story right away too. I had to fiddle with the terrible Internet here, but it does work.
It should be right when you put the game in for the first time.
As was stated it's simply three options: yes I want a new save file, no I don't want a new save file, and transfer my regular CS data. Just story mode as was stated.
I want all my nice colors back but nope D: