Congratulations on the new lights! 250 W will penetrate much deeper into your tank and your corals will thank you for it. I assume they are HQI or MH? Are they pendants? What is your photoperiod now? What type of livestock do you have?
In my experience it is always better to err on the side of caution, and if possible acclimate the tank. I have heard of people experiencing acroporoa/montipora bleaching when moving from VHO to MH so there is at least a little concern here.
If the new lights are pendants, you may be able to keep the same photoperiod by raising the lights a couple of feet and slowly lowering them. This is how i handled a 250W to 400W change in my old tank, and I had no problems. If not pendants, you may want to reduce the photoperiod or only run your new 250W for mid day light for the first week or two. At the very least, you should closely monitor your livestock during the transition.
That said, most stores run 250W lights, and I used to buy frags that were used to 250W and put them in my 400W lit tank without incident.