It's possible and detailed here: http://www.owlriver.com/tips/centos-31-ex-rhl-9/

Just wondering if anyone has been brave enough to do it and cares to share?

There are some threads in this forum too (the steps are on several sites too).

I upgraded from RH9 to CentOS 3.3 and later to CentOS 3.4 without any trouble.

The steps are easier than those in that page. No need to download all the packages to your local disk.

In short, it's a matter of rpm -Uvh centos-release, then upgrade yum with the centos package, and then yum upgrade.

You will have conflicts that need to remove (rpm -e) and then yum upgrade again.

As said, there are better and shorter guides, even in this forum.