Welcome to iMore, @
erinboot!
Basically what it's saying is anything that isn't on your phone, you will lose access to it. If you have things like photos, calendar, etc., try going to the iCloud account settings first and disabling them. It will then ask you if you want to keep copies on the phone or just in iCloud. Choose "keep on phone". Then you can sign out of the iCloud account, and when you add your new account, they will sync from the phone to iCloud.
According to a write-up here in iMore, you should be safe the way you're doing it but I've never done it that way:
How to sign out of your iCloud account on iPhone and iPad | iMore Did it ask you the same question(s)?
Good luck!