Hey man,
I don't know if you're still interested or not, but I just got my PC built and ME2 installed.
I followed the instructions here:
Also, under the saves directory, I made folders with the names of my Shepards and then put the files in there (so, it's Documents>Bioware>Mass Effect 2>Save>Sheppard Folder>Save Files).
A post further down in the link recommends renaming your save files once you've converted them, and I did that as well (I simply changed them to "save_0001" thru "save_0015").
Then, I downloaded DLC for the PC version to match what I had with the X360 version (you apparently don't have to do this and can use Gibbed's Save Editor to make the saves not DLC dependent. I wanted the DLC though, so I have no idea if that route works for sure)
Here's the link to the page with Gibbed's editor DL:
Anyway, I checked through all my saves, played around in the game, menus, combat, etc and everything loaded up without a hitch.

Oh, and for anyone used to playing ME with a controller, here's a video that explains how to do so (along with the pros and cons):
The links to the files posted with the video are dead, but here's a working one:
I tested it out myself and in addition to the issues mentioned in the video, there is some weirdness with reading the L Stick in the main menu (directions are calibrated wrong or something), but other than those it's definitely a workable alternative. Note that the traditional keyboard and mouse setup works quite well though.
EDIT: I forgot to mention that through the save converter you can check and edit your decisions for quite a few events from both ME1 and ME2. I didn't mess around with it (as I was happy with my setup) but I checked it against my decisions and it seemed good to go.
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