I don't do this myself but our financial controller does. He said that once you have a bank account in each location you can use someone like CurrencyFair.com (that's who he uses and he speaks highly of then, I have no idea who else is out there).
They had the best rates available when he's done a compare, and they only charge 3 euro for the transfer.
He's totally paranoid about this sort of thing so if he's using them they must be up to scratch. They are fully regulated, and keep client funds segregated, they do require you to provide some documentation on registration for anti money laundering etc. but apparently that's standard enough.
There are two options for exchanging, you can take the rates on offer and exchange instantly (they claim the rates on offer are no worse than 0.5% away from mid-market, and sometimes even better than the mid market rate), or they allow you to post your own rates and wait for someone to match you. Not 100% sure what that means but he got all excited about it.
I have no connection to these guys and haven't used them directly but if a paranoid accountant who works with me likes them it says good things about them.