U can just transfer the whole wordpress folder from the root directory of your old url(which u r using now) to that of your new URL.
Then replace the "blog address" and "wordpress address" with your new one.To make the search engines know about your new url and to redirect anyone who tries to access your old website to ur new one, u can use 301 redirection.For this u have to make sufficient changes in your .htaccess file, well if u dont have one,its pretty easy to make one.
Open Windows Notepad, enter this line:
Redirect 301 /oldfoldername http://www.yourwebsite.com/newfoldername
and save the file as .htaccess. Then, upload it to the root of your web folder.
That’s it. If you do everything right, you should be able to access your site from the new url, all of the links on your blog should point to the new one (unless you entered them by hand), and if someone enters your old address it will redirect to your new one. Additionally, all of the inbound links counted by Google, Yahoo and the others, will transfer over to your new URL. The 301 redirect tells the search engines that the site has been permanently moved.
This is what i think and since it is a pretty risky job, u better create backup file before doing this.
If u wait for somemore time, we can see the advices of the moderators, they'll warn u if Iam wrong.