Really there isn't a way to have everything transfer over to a new device.
App can be reinstalled from the Web market place, but you can just DL the app "Reinstaller' on the new device and it will help reinstall process go quicker. Either way you are just getting the apps any settings or data will be lost.
SMS are not backed up. The app"Zapi Messaging" will back up SMS but only ones sent through it so to late for that now.
Contacts/calendar are sync'd to the email assigned to your phone so as long as you use that email your contact will sync when it is added.
Photo can be backed up to skydrive or PC
Docs and music same as photos with sky drive or PC.
I think that covers everything that can be done probably missed something though. It is an issue with WP7 it get fixed soon but I wouldn't hold my breath.