As yet I have not tested this, but it sounds good.  especially useful for large lookups, which in standard InfoPath are pretty painfully slow due to the massive amount of code that is produced by InfoPath Forms Services.  This method would mean that you could write your own code which is much more efficient.  Although to be honest if I was faced with this kind of thing I would be more likely to use ASP.NET forms instead of InfoPath.

see: Serve's Sharepoint blog post