How do I change iCloud account for family sharing without deleting photos?

I have been sharing an Apple ID on my iPhone with my family for years, but now that Family Sharing has been introduced I want to use my own Apple ID and iCloud. I have my own Apple ID, and have changed this on the App Store, but I need to change the iCloud account. When I try to sign out of the shared account under settings, it says that "all photos in iCloud Photo Library and Photo Stream photos stored in iCloud will be removed from this iPhone" if I continue. How do I log out of the shared account and into my own, so that I can use Family Sharing, without having all of my photos deleted? I tried to download all of my 1092 photos to my iPhone but despite having sufficient storage available they wouldn't download. I read other articles which said to save all photos to camera roll but I have iOS 8.4, and i don't have an album called "camera roll", only "All Photos" and my own albums. Any solutions would be great

N.B all of my photos are uploaded to iCloud