Hi Craig,
Good question! You can use UDC files to store your connection. Then, it's easy to move the forms from one server to another. Just change the UDC file that it's pointing to so that it references the new server. No change to the InfoPath form is required. Search this forum http://www.google.com/coop/cse?cx=003654972516704994317:4j0mji2l1rq for "UDC" and you'll find a bunch of blogs and posts.
By default InfoPath uses data connections that are not UDC. InfoPath 2007 lets you convert a data connection to UDC format. Just go Tools->Data Connections, select the data connection and click Convert.
You can save the form as source files (File->Save as Source...) and look at the manifest.xsf file which includes the data connection settings. Search for adapter.
Good luck!