Transferring begins September 15:
http://www.frontiermidwest.com/weare1/timeline/
On October 1 I assume that all Midwest miles will be folded over into Frontier's program. I have no idea if they will be issueing new numbers or if you get to keep the Midwest one.
Either way I wouldn't worry too much about losing miles. Just start using your Frontier FF number for any upcoming flights and transfer the MM over in September.