What is the best way to change an inventory item to an assembly/kit? That still considers the fact we have open sales orders for this item?

Make a new item, then you can use a CSV to import and update open sales orders.

So in theory add the new sku and remove the old sku to every order

+1 to the new item.

Yes. Create a new item. Find all open sales orders containing the old item, update them to use the new item.