J.K.
Make sure you confirm with the new practice that they will accept you as a patient before anything else. Many doctors have a cutoff when it comes to how far a pregnancy has progressed. If you're past 20 weeks they may not see you and you'll have to stick with your current.
If they have already accepted you, and you know your insurance covers the new place if applicable, then the records transfer/alert is all you'll need to do.