[Desire HD Q&A, Help & Troubleshooting] divche:
I never encountered the config screen, so it was more of a guess based on what I did, so I'm glad it helped!

I also had all my contacts as phone contacts too. I chose to convert my contacts (and my calendar as well) to google for ease of syncing later on, so I have no tried and tested suggestions on how to maintain them as phone contacts. What I did was let HTC Sync synchronise with Outlook (I created a new PST file for this, then specified it in HTC Sync), then used GO Contact Sync Mod (sorry I can't post links yet) to sync it with my gmail account.

If you really wanted to leave as phone contacts, you could try Titanium Backup - but since your phone contacts are saved as system data it's a bad idea - so I'd recommend against it. If you're backing up your nandroid for ARHD, you could always try TiBu and let us know how it went - I think it was labeled Dialer Storage - filter to system data and just look through all the green-colored items for something that says "CONTACTS" or "PEOPLE".

+1 to what if4!ct0r said regarding wiping before flashing.

There will always be some system settings that you will have to re-enter manually if you customize them a lot even when updating builds of the same ROM (probably because these are the system items that you shouldn't be restoring). These will depend on the ROM, but for me and JellyTime, the ones I had to redo were developer, lock screen, system/status bar, sound, display, language, as well as ringtone/sound notifications for alarms, messaging and calendar. Also you'll have to manually set up your widgets again - typically ones that require you to configure it as you place it.

As for TiBu not being recommended - personally I didn't have a problem with it when moving over to JellyTime. I actually purchased the Pro version just for this and for flashing new JellyTime builds. There are two things to consider when restoring via TiBu: 1) system data; and 2) app and app data.

System data: The main concern here is, when changing to a completely different ROM, do NOT restore any system data (unless you're aware whether it was updated in the new build or just experimenting). Even when you're updating to a new build of the same ROM, you should at least avoid restoring the red-coloured items and just stick to green and yellow items that may contain useful data such as contacts, sms, call logs, saved wifi access points, bookmarks, etc.

App and app data: I personally think it's ok to restore your apps themselves, but you could always record a list of what you had and download them manually again just to be safe - not a big deal unless you have over a hundred apps. When switching ROMs, try to avoid restoring the app's data unless you really wanted/needed it for certain apps - in that case, be conservative with what you choose. I'm not a programmer or developer, so I don't know how this would affect your system/app if switching to a ROM with a different Android version. Restoring app data between builds of the same ROM should be fine, as I've done it between all my JellyTime flashes with no issue even when it updated to Android 4.1.2.

Tip: after flashing the ROM, and doing your typical post-ROM-flash stuff (like fixing permissions, rebooting, wiping cache+dalvik, flashing Gapps, etc), and you've tested it and are happy with its stability, download TiBu again (or if you had the apk stored somewhere after you purchased it, just install it manually), boot to recovery and make a nandroid of the new ROM as it stands: nice and clean before any apps are installed. This way you've got a recovery option without having to go through the hassle of re-flashing the ROM build again, setting it up, etc if all you did was stuff up while experimenting with restoring data on TiBu.

As always, make a nandroid backup before flashing. As I mentioned, if you're initially happy with the ROM, I recommended also doing one after you flash while the system is fresh and clean. Sorry if this post is a bit wordy, but I thought more info would help, as it helped me in the past.

+1 for SMS Backup & Restore; I also used it, but keep in mind AFAIK it doesn't save MMS. I also used Call Logs Backup & Restore, in case you're interested in backing this up too. But since I started using TiBu, I don't need either of these apps any more.