This question comes up frequently:
Can I encrypt the XML data coming out of InfoPath?
The answer is “yes!”, and there is a wonderful article on MSDN that explains just how to do it, titled Extending the Save Functionality in InfoPath 2003. The article covers a lot of ground, and includes managed code samples showing how to perform data encryption during OnSaveRequest and decryption during OnLoad. Similar code can be used during OnSubmitRequest to encrypt the data before sending it out over the wire.