I had the same question. I called USCIS's national helpline number. The answer is you can certainly move and change address. Your case will be transfered to the local office in your new address. However, the transition time varies and is not trackable. Also, when your case move to the new office, it will be taken as new case filed on that day, which means it stands at the end of the line.
So I am thinking that I still keep my old address in record and will fly back to my previous city for interview. Has anyone done that? Any possible problem?