So, did this yesterday...
Indeed, the tricky thing is ensure shortcuts offered by Windows point to the OneDrive locations, not the old local folders. ie: Where "Documents" is offered as a shortcut, it goes to the "OneDrive/Documents" not the local documents folder.
A handy tip - If you open "My PC" and there it shows links to say "My Documents" and "My Pictures" (& "My Music" etc), if you right click them you can define their "location". So you can change them from your local location to instead point to the OneDrive location. You'll get an option to also move existing data or not from the local to OneDrive folder. This at least changes these shortcuts to point to the "OneDrive" location correctly.
Indeed, the tricky thing is ensure shortcuts offered by Windows point to the OneDrive locations, not the old local folders. ie: Where "Documents" is offered as a shortcut, it goes to the "OneDrive/Documents" not the local documents folder.
A handy tip - If you open "My PC" and there it shows links to say "My Documents" and "My Pictures" (& "My Music" etc), if you right click them you can define their "location". So you can change them from your local location to instead point to the OneDrive location. You'll get an option to also move existing data or not from the local to OneDrive folder. This at least changes these shortcuts to point to the "OneDrive" location correctly.