There's a document at https://confluence.atlassian.com/display/JIRA/Migrating+from+JIRA+OnDemand+to+a+JIRA+Installed+Sitefor this.
It boils down to having the latest version installed and then exporting the data from OnDemand and then importing it into your instance. If you're using any Add-Ons in OnDemand you might need to review their documentation on how to migrate that data.
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