What is the first step in the transition from a UX designer to a UX researcher?

Observe...Observe...Observe....Observe the day to day life of users.Ask as many questions as possible to get the requirements.Understand the users and their needs

UX Designer is generally misunderstood as Graphic Designer or a Visualizer. User Experience as a function constitutes as various stages and roles. In a nutshell it begins with Information Architecture which is similar to Business Analysis with the difference being that Information Architecture here involves business as will as User Centric details. Some of the researches are:

• Requirement Analysis
• Identifying and analysing the usage of similar products in the market for comparission
• User Segmentation into Persona and performing User Research
• Identifying the User Interaction patterns based on the User Research
• Identifying the Interaction Channels such as Devices, Browsers etc that will be used to access and interacting with the application
• Defining User Journeys i.e. Information flow throughout the application aligned with the interaction pattern of the user
• Preparing Wireframes and mockups based on the researches listed above
• Performing usablity test based on the wireframes

The list will go increasing. In nutshell UX is more than what people perceive about it, i.e. graphic designing.

So the first step that you need to follow to transition from a Designer to Researcher will be to start peeking into more of the functional aspects of a product along with the Graphic design principles.

Hope this helps.