Here's an MSDN article to give you more of a taste of using the new hostable InfoPath control within a WinForm application: Hosting the InfoPath Form Editing Environment in a Custom Windows Form Application - by Mike Talley.
It includes a link to the sample application, too, showing how one would write a simple shell around the InfoPath form control.
One thing new that this article touches on is the Submit to Host data adapter: perhaps when the user presses "submit" you want your hosting infrastructure to do something with that resultant XML. This is basically a hosting specific adapter to let you do so.
Additionally, the article calls out some of the features not supported in hosted InfoPath. If this causes you grief, please blog about it or share with us your scenarios so that we can better understand what's going on for you.
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