The answer given on the DirectGov website as of March 2009 is this:
If you move to another country, you should check with the driving licence authorities there for information about driving and exchange of licences. You don't need to notify DVLA of a change of address when moving to live abroad.
You can read more about the ins and outs on DirectGov's driver licensing pages.
PS - This applies to GB licences. We'll do a bit of digging for the information on NI licences and post it when we find it.