I put new wheels on my Armada last week. I didn't want to bother with getting the wheel pressure sensors moved over. The first time I drove the car on the freeway, the light turned on. Then the light turned off and has stayed off and nothing has changed.
Since my new wheels are still 70 series tires, I'm not too worried about the air pressure. I visually look everyday at the tires to make sure they are inflated and if they look low, I'll fill them up.
If you are getting 20-24" wheels, you probably want to move the sensors over because on low profile tires, you can't afford to let the pressure get low.
It's not hard to do. Unless your wheels don't have the correct size hole cut for the sensor screws, rubber seals, and clearance for the sensor on the inside.
Most wheel shops will move the sensors over and rebalance the wheels for around $80.