Importing / Exporting content in wordpress really sucks.
It's a basic feature that I hope from any CMS... and the other opensource CMS like Drupal or Joomla do it right.
Why the difficult ?
You will find many and many issues around importing and exporting.
The main reason is that wordpress stores a full absolute url for images, links, etc.
Thats why you cannot simply make a sqldump, a zip of the /public_html folder.. like any other tools.
ALSO If you only want to change your domain name, you can make a disaster in your wordpress installation. Then you must google about your situation, and you can found the right way to fix it after hours.
So i decided to try with the core export / import content.. but :