I have not done this, but I assume it is going to be the same as train transfers everywhere: you get of one train, walk to another train and get on. Nothing to be anxious about. You will not be the only one making this transfer.
EDIT: According to posts on Tripadvisor (where this question was also asked) the transfer is usually cross platform, and I would expect it to be a timed transfer, ie. the local will not leave before everyone has made the transfer, and will wait for a delayed long distance trains. CP offers connections in Tunes as low as 1 minute, which reflects quite well on them. Railways should try to avoid wasting their customers' time.