The main difference between a Legacy and Native endpoint is the method that you use to get a reference to the server.
Legacy endpoints are set up like a standard web service that you would expect to see in IIS. It's no longer in IIS, it's a WCF service and you find it in the Services applet; but it looks like one when you connect to it. In Visual Studio 2010, you connect to it like this:
In the Solution Explorer, right click on Service Reverences and choose Add Service Reference
Click the Advanced button at the bottom.
In the Service Reference Settings dialog, click the Add Web Reference button
In the Add Web Reference dialog, enter in the name of the web service. By default, it is :48620/DynamicsGPWebServices">http://<machinename>:48620/DynamicsGPWebServices
In our example above you can see the page that you get when you connect to the service.
Native Endpoints
To connect to the native endpoint, in the Solution Explorer, right click on Service Reverences and choose Add Service Reference
Enter in the web service endpoint address (net.pipe://localhost/Microsoft/Dynamics/GP/eConnect/mex) and click Go. You should see the screen below after you do that.
What's Next
After that the documentation should start to make sense. The endpoints are very similar in usage, it shouldn't be very hard to port your legacy code over to native. Add a second reference to your project and just start going through it, changing the reference to the new one. The biggest difference that I see in the code is that the native endpoint doesn't have the UserDefaultCredentials property, the user is set in the app config file. More on that later.