Head over there and click "download" it does a decent job at telling you how to set it up and convert a partition (mkreiserfs) to reiserFS. You'll likely lose the information on the partition you are changing, so be sure to back that up, if you've got space on your other/existing partitions, just move the data there, it should be safe as long as your finger doesn't slip in your syntax and format the wrong partition
Then, once the conversion is done, just move your data back, edit /etc/fstab to reflect the filesystem change, and remount the partition:
As for comparisons:
I don't think the average user would see that much of a difference in the filesystem they use, but it won't hurt to use something that's proven to be faster.