I'm a big Conan fan so I feel like I have to post here.
I don't think the considerable early dip in the ratings is a true measuring stick. It's easy to see why someone who watched Leno (or Dave) wouldn't stick with Conan after the switch. Their styles are so different, it's hard to imagine a person who would appreciate both. Additionally, most of Conan's fans are probably younger and not necessarily watching tv at 11:30 on a consistent basis.
The bottom line is that as Conan's core group of fans age, his ratings will rise, and any new, young viewers will surely choose Conan over Dave.