For SEO purposes, in most cases it is advisable to maintain your current domain name.
However, if you decide to change it, you need to 301 redirect the traffic from the old domain to the new.
To do so, you just need to add (or edit) a htaccess file to the root of the old site. The contents of the .htaccess should be the following:
Replace www.domain.com with the domain of your new site.Code:Options +FollowSymLinks RewriteEngine on RewriteRule (.*) http://www.domain.com/$1 [L,R=301]
Any page request on the old site, will automatically get sent to the same page on the new domain.
This helps save you from losing traffic during a domain change, and also helps the search engines discover the new location of the content.