It is not possible to use the Lists.asmx directly in InfoPath via a web service data adapter because the schema is too complex for InfoPath to handle. There is a SharePoint adapter type, but it has its own problems that prevent it from being particularly useful.
The two choices are to write code in the form or to use a proxy web service that runs on the server, calls Lists.asmx on the caller's behalf, and prepares a cleaner xml result that InfoPath could consume.
Qdabra be adding such a proxy in the next version of DBXL.