Im currently in the process of getting rank 10 in every city. So i got to know a little about changing cities.
First, theres a hefty price:
If the city you are moving from is top ranked, like when i moved from Windy to Sandy 2 weeks ago, it costs 12k to move to the second ranked, and 4k to the third.
Moving to the top ranked city will cost you 40k.
Therefore you should wait for a week were Windy is second, or much more rarely third.
In terms of everything you got that is specific to city (rank supply runs, CP points, everything is saved on record, but you cannot access it until you go back to that city.
Thats about it really. If you are plannin to lvl Pld, id stick to Sandy, the CP armor and weapons reward is much more tailored for PLD/DrK/WAR
Thats about all i can think of atm.
Good Luck!