That is only a problem if your cookie settings are specific to your old URL. The default cookie settings in xenForo are not specific to any one URL so this won't be a problem unless you have overridden the default cookie settings in the library/config.php file.
Or have your new host transfer it all for you much quicker and much easier. Thats what i did with my VB forum.
I dont know how it is now, but then, if you had a large database, you had to upload it to your site and SSH in to install it where its supposed to be.