I believe it is possible. I have seen posts by people that supposedly have. I beleive it requires submitting the form and then having another routine which moves the XML file to the destination you want. This code could be in InfoPath of a seperate routine which is triggered by a new file.
I have used "DirectoryWatcher", I believe that is the name, which would monitor a file location. I was monitoring a SharePoint Team Site, and when a new file was there it would move it to another location. It could create directories and had some other logic capabilties. Something like that might be a good option for you.