I've just received in the mail, paperwork and a letter pointing out that my insurance is "portable" and I can convert it from my employers plan to one of my own.
Should I do that? Have I created any equity in an employer plan such that I would want to retain it?
I still have insurance, now through my new employer, but would this insurance be cheaper because I've had it for a few years?

The only two reasons to use your portability option are:

1. You are no longer insurable and you need more life insurance than you can purchase on a guaranteed basis from your new employer.

2. It was group Universal policy in which you built up equity.

If neither of these conditions exist abort, don't port.