Files Transfer to New Domain

What is the proper procedure if I was currently working on a site, but a few weeks into it I wanted to change the domain.  I purchase a new domain and then I transfer the files (that I'm currently working on) over to the new domain.

My question is....which files in the site that I'm currently working on, needs to be changed???  By change, I mean with the new domain name info. 

Thanks,

Craig

if you will leave all your files in same server and will change only domain name - you will need just to edit /inc/header.inc.php file

Regards

Artur