I am worried that I now have exposed my keys on the internet and want to get this done ASAP
The link above should help you do just that. It's not time consuming either. As simple as and as straightforward as what you were doing on Blockchain.com.
Just make sure to read the note after step #3.
#I am in the process of setting up an Electrum wallet. It is immediately asking for my private keys but has never asked for my name, address etc yet...is that normal?