I am less concerned with switching hay than I would be switching a pelleted feed or grain. Whatever they are eating now, just go ahead and switch them over to what you feed. It is a good idea to keep an eye on them for a few days just in case they have some kind of reaction to the feed change, but I haven't had a horse that reacted badly to suddenly switching hay. All the customer horses I get automatically get put on good alfalfa hay as soon as they arrive at my house and I have never noticed any ill side effects like colic.
BTW, it's never too early to think about these things. At least now, you will have answers to questions that you had thought of so that you won't be quite so overwhelmed with ones you hadn't thought of when you get him/her home.