I'm moving a WordPress blog from:
When I export the XML Blog Post file it contains URL reference to the old domain for each blog post, for example:
*** This will be wrong when imported to new site ***
Before I import the file into the new WordPress site should I change each instance of the incorrect GUID file?
You shouldn't do it when moving database from one production site to another new production site. This article explained the reasons very well.
From a local dev site to a production site, you should. But make sure the
guid and the real permalink point to the same content. You should follow this guidelines.