I'm thinking about doing the conversion. Is it possible to do on a 2500HD and what all needs to be replaced??

 

I don't know how that would work. The HD Sierras still have either a different bumper (99-02) or a spacer between the bumper and grille (03+). It could be made to work I'm sure, but I don't know what it would take to put a 1500-series clip on a 2500/3500 truck.

This is the official parts list for what it takes to convert a 99-02 1500 Sierra to the Denali front end:

99-02 Yukon/Sierra to Denali Front End Conversion
# 15046662 - Filler between grill and bumper - LH
# 15046666 - Filler between grill and bumper - RH
# 15150999 - Parking lamp - LH
# 15151000 - Parking lamp RH
# 15764319 - GMC Denali Grill
# 15166756 - Headlight - LH
# 15166757 - Headlight - RH
# 12479754 - Bumper cover
# 14093088 - Retainers (7 needed)
# 15149708 - Retainers (12 needed)
# 15153490 - Insert
# 15060470 - Impact bar
# 16516335 - Fog lamp Assembly - LH
# 16516336 - Fog lamp Assembly - RH
# 15059859 - License plate bracket

(I think some of these part numbers have been superceded, but I'm not sure.)