Has anyone gone through changing the currency precision before on currency that already has transactions? Any gotchas we need to be aware of?

Only thing I can think of is that if you have any kind of scripts that do any kind of rounding or anything gets recalculated based on the changed precision, which will cause your totals to change. It could have a big impact on things like suddenly mismatched invoices against sales orders that have different values (of course, if you change the precision for both areas and the numbers match, not so much an issue), though it would reflect changes to things like trial balances and historical transactions, etc. i.e. you change 1000 transactions and even if it rounds it up or down by one cent every 100 transactions your balances start to go out of parity in comparison to historical ledgers that may have been printed out.