I just found out from my lawyer, that if I change my address after my I-140 and I-485 application has been filed, then all I need to do is fill out and send the AR-11 form to the USCIS. My lawyer said that my I-140 and I-485 approval will be sent to them directly, so I don't have to worry about the USCIS updating my address. But as dynobuoy suggested, it may be a good idea to call the USCIS to make sure that the address has been updated if the approvals will be mailed to you directly.