These steps are for new Blockchain.info wallets based of BIP39 seeds.
If you have previously imported private keys to blockchain.info they have to be exported separately, as they are not part of the keys derived from the seed.
Get your blockchain.info seed. Login to your blockchain.info account, click on 'Security Center' then click on 'Backup Phrase'. Be aware that onced the phrase is backed up, you won't be able to access it again on blockchain.info. So note it down carefully.
Start Electrum, choose to restore a standard wallet, then restore from seed, enter your seed, then click options and check the 'BIP39 seed' box. -> Click Ok/Next.
You should now have migrated to Electrum.