H., it was really easy for me to transition my two to a toddler bed...I was in the same position - another baby due (although mine are 13 1/2 months apart!) and wanting to get the other one on his way. For both of my kids, neither got out of their cribs either - we are both lucky! I have converting cribs, so the first thing I did was go out and get a bed railing. They are about $20. Then, all we did was convert the crib to the toddler bed, with the kids in the room seeing what was going on, we made a big deal over the "new" bed. The railing, especially on the toddler bed, takes up almost the entire free side, which is a natural deterrent to get out. (a word of advice - place it all the way up where they lay their heads so a small space is available down by their feet without the railing, this serves as a small "step-down" spot.) With my son, we only had to go in a few times and lay him back down for a few nights, then it was no problem. To this day, he gets up, plays for a while, then bangs on his door to get us up. My daughter was even easier. It's almost as if she didn't even notice! I think the BIG thing, as in most parenting, is how YOU react. If they see you with trepidation, they will feel that way too. You know your child best, so if you think they may have some anxiety, try getting new pj's, a new stuffed animal to invite to bed, or even having a special dinner and "celebration" for the new bed the night that you'll be converting. When it's fun, children usually don't even notice change.
By the way, we again are lucky that our 2 year old can't open doors yet, however, the crafty 3 year old has been adept for quite some time. My secret? Those child-proof doorknob covers!!! (put on their side) Then they cannot "escape" from their own rooms. Worked like a charm for me, until the 3 year old started hammering his to knock it off, although you can bet, that wakes me and my husband up right away!! Good Luck!