yes you can do it without losing data, just check out the migration guides in the access and sql forums, as to when is really dependant on a large number of factors, size of db, concurrent users, how loaded the server is etc etc
It is not something that has a definitive answer as it is dependant on too many other factors. All you can do is decide whether you think your current performance is slow, if it is then either try another host or upgrade to sql, both could yield equally as good results.