In your shoes, I'd probably create the Lemmy community first, link it in the subreddit, and then let both the Lemmy comm and the subreddit coexist at the start. Then talk with the users about a potential migration.
And by "talking" I mean dialogue; not just a "we mods are moving to Lemmy and you guys are supposed to follow us", but taking into account their concerns, ideas, and vision for the community.
In special, tweak the rules of your Lemmy comm to address issues raised by your most active subreddit users (your sub is small, so odds are that you know who they are). That's important to show that, if they want, they can build the new comm with you mods.
Later, as the Lemmy comm is already stable, I'd slowly restrict what users are allowed to post in the subreddit. Focus primarily on things that Reddit could use as excuse to shit on your subreddit; for example, chunks of the terms of service that are not currently enforced, but may be in the future. And if users ask "why", be honest with it - tell them something like "Reddit is going downhill, and we don't want this community to scatter". (It'll scatter a fair bit though. That's sad but unavoidable.)
Depending on the topic of your community, you might also want to migrate its content to Lemmy. Even doing it manually would be better than nothing.