Lots of people say size down, but as other posters in this thread have said, you want to keep pretty much the same dims as your dialed road position. Usually the saddle gets lowered *slightly* maybe 2-5mm or so to make remounts easier, then your bars probably get a little higher and reach gets a little shorter, and some will angle the bars/shifters up to some degree to aid in keeping a good grip on them. Probably better to get a frame that is pretty much the same geo as your roadie then maybe add some spacers and shorten the stem. Most people generally don't want a 120mm+ stem for CX as it is viewed as having a negative impact on bike handling. So if you have a 120mm stem on your roadie you could easily get a CX bike with the same top tube length and shorten your stem. If you are already running a 100mm stem or shorter on your road bike, sizing down to a shorter top tube for a cross bike might be advantageous. As far as cranks go, I use 2.5mm shorter cranks for my CX bike but crank length is personal preference. For cranks I would either stay the same as what you're used to or maybe go slightly shorter. Only advantage of slightly shorter is a little more clearance above the ground.
As a caveat, make sure you read the geo charts for CX frames. Lots of companies have wacky names for their sizes that don't actually correspond to the dimensions of the bike.
Another dimension that will greatly affect the feel of your CX bike vs your road bike is BB drop. 70mm of BB drop is pretty standard for road frames. Lots of companies are making CX bikes with a BB drop of 70mm, or within 2-3mm of 70 (specialized, cannondale, many more). However some brands have much higher BBs. Ridley and Raleigh are two that are in the 55-60mm range. This will feel a lot different than your road bike. If this is your first cross bike I would try to find a frame with about 70mm of BB drop. Unless you get really serious about doing CX RACES, I wouldn't worry about a higher BB bike, and even then it's a matter of personal preference.