I have a development site as a subdomain of my main site, so I deal with this when I copy data from the live site to the development site to obtain a current version of the development site.
First, visit http://codex.wordpress.org/Moving_WordPress#When_Your_Domain_Name_or_URLs_Change like cybnet recommended. Once you have changed the wp-config files as described in the link, visit https://interconnectit.com/products/search-and-replace-for-wordpress-databases/ and download their php script which will replace the orl urls with the new one.