I had bodkin arrows (+0) and bought bodkin arrows (+2) on the market. I was unable to heirloom the +2 bodkins temporarily because I couldn't see them as an option in the retirement section.
I then traded my bodkin arrows (+0!) on the market (I used IRC to do this quickly). Once that was done bam I could see my +2 bodkins in the retirement page and had no other problems.
I've heard you shouldn't just sell your other item to the 'bank' though, put it up on the market in case something doesn't work maybe they'll trade you back if there are problems.
Good luck!