Well I finally converted all my projects from BDS 2006 to Delphi 2007. As promissed by CodeGear there were no fatal issues involved because of the so called 'binary compatability', Besides the usual stuff like installing updated third-party libraries and adding search pathes etcetera everything worked fine.
It is a good thing to make an installation protocol, because installations of the package (sometimes) need to be installed in the proper order. A protocol makes the process even smoother. (It is scary how fast you forget the installation order)
One issue I have had was a problem with the Help after installing my devexpress components. After installing these components there is an issue regarding the Filtering in the Help which then shows only the devexpress help, which is a pitty because the Delphi Help is so much improved. Fortunately Devexpress has an temporary solution which you can find here. (Issue AB12388)
All with all a smooth transition with no fatal ('Oh oh......') moments. ;-)
Now I only use BDS2006 for my .NET related projects. It is a bit strange to have two seperated Delphi's again just as with Delphi 7 and 8, but BDS2007 is on its way so that should be temporary.
Update: I noticed that BDS2006 is not shown in the taskbar. I am not sure that this has to do with the installation of Delphi 2007. Easy to solve anyway, minimize once and it is back.