Hi Jesse and welcome,
SharePoint Workspace doesn't officially support InfoPath because of these data connections.
We have built solutions for connecting to SQL and synchronizing offline - take a look at Qdabra's DBXL Client product. It's inexpensive and works well for your specific scenario when coupled with DBXL Server, but it might be overkill for your scenario.
If they have the form already and are simply taking the form offline to fill out, you could copy the SQL values into the form and then have two controls - one for offline and one for online. This won't work for new forms. We have solutions for this too.
Please let me know if you'd like to see either of these solutions and we can arrange a demo.
Sorry I didn't have a super easy silver bullet for you.