21 March 2009
You have to get your assessment records transfered to concernd Gurgaon A.O. You also have to get your pan transferred, for which you have to make fresh application in form 49A for change in address, with the same PAN.
22 March 2009
There is no procedure for change in address in Income Tax. File return where ever you are. Regarding previous returns, if the present AO will need it anytime, he will call the records from his departmental collegues, you are not required to do anything.