you do have to shut a forum down to change servers, since it's moving a database. you could say that's a big deal, i guess, but it's impossible to change host otherwise and if people are already defecting because of the slowness, a "down for a move to a new, faster server" message will probably not hurt your street cred with your users imo.
whenever i move a site, i retain old hosting during the move so i can check out the new site before changing the domain to point to the new namesvers. i always keep a few days overlap...you're not really risking your forum since you have a complete copy of the database at your current server. things don't go right, you don't change your domain record to point to the new site, so you're still covered.
when your satisfied it's running on the new server to your satisfaction, you change the dns and open the forum on your new host, making sure the forum remains off at your old host, so new posts can't be made on that copy of the database during domain propogation when users may sometimes get served the old copy of the site.
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