I just did this from a Pro (20GB) to a S (250GB). I just plugged in a 500GB USB drive. It will only use 16GB but luckily I removed all unnecessary data and had something like 11GB. I transfered it over with no problem. Unless you are doing a large amount of data, I would recommend going this route.
Note: If I had like 120GB, and it took me many iterations of moving 16GB at a time, I definitely would get the transfer cable.
The problem with this is some games don't let you move your saved data over. Most allow you to but some of them make a fuss.