Cross domains permissions setup with InfoPath can be a real pain to setup. Many of our customers find our products because they just couldn't get it working in their environment.
We have a generic web service called DBXL that solves the cross domain issue and at the same time makes it easier for you to get your InfoPath data into SQL.
DBXL also makes querying from SharePoint and or SQL easy as well.
You can read more about DBXL here: http://www.qdabra.com/en/products/DBXL.aspx and I would be happy to demo the tool to you if you want to see it in action and understand it works.
Send me a private message if you would like more information or a demo.
Ted