Hi Gaby,
Well, this is the first reason behind why we developed our Qdabra Database Accelerator (DBXL) - free download available. Using InfoPath, you can't just add a Main Data Connection after the fact. However, using InfoPath + DBXL, you can do this by specifying a mapping between the data source in your form and your database. It's a best practice to have loosely coupled forms and databases anyway since changes to the database require changes to the form and vice versa when you have a "tight coupling". Loose couplings let you change one or the other without breaking the submit process.
Tom's 10 minute video describes how this works: http://www.screencast.com/users/qdabra/folders/Default/media/46fa1700-c3a8-4696-93c0-4e3cf03703b7
You can recreate your form from scratch and bind it to SQL but whenever something changes, you may have issues. Best to use a Web Service. That's the best practice.