As far as I know, you will have to write .Net code: Infopath form data  are stored in "standard" xml  file that can be read by .Net code.
It is quite easy to loop through each ListItem (SPListItem class), to read the file(SPListItem.File property), to parse it and to insert the data into sql  server.
Do you want to keep the Xml format or do you want to store the data in native sql format ?

From my perspective I would like to save the whole XML as table record.
Since SQL 2005 already support XML type, then we can do normal query. And we have benefit having original data, and no parsing in export-import process. Thus, if in the future we need to restore the data  we still have the original data - or may be we need additional information, we still have the original