I'm referring specifically about moving one xF forum from host A to host B. As far as I know, xF does not store it's file attachments in the DB but in a physical file structure.
That's why I said "Then copy your forum files over and duplicate your configuration (assuming you are on a VPS or dedicated server)", reflecting you are moving your entire forum structure (in my case it resides in /twowheel) over to the new site. Moving the entire structure will include moving the attachments in the /data folder.
If you are talking about converting from forum software A to xF, then I'm pretty sure the official converters do (I'm almost positive they did when I converted from myBB -> phpBB3 -> xenForo).