How to not pay for a song twice? What is an easy way to move a song I bought from iPhone 3 to iPhone 4 to iPad?

Do I need to move some files such as Mvx034f.mp3 over somewhere and rename it?

I think the only other way is to let Apple know I want to download it one more time, but that is ONE TIME ONLY.

Quite often, I leave the song in my iPhone 3 or iPod, and the old computer, and 2 years later, I want to hear that song again.  With a CD, that's no problem.  With the iTunes purchase = Pay Again and I want to avoid it.
The best thing to do is to make sure that you set up a proper sync relationship with all of your devices. If you buy something on the iPhone3, then sync it, iTunes will copy it back to your library on your Mac / PC.

After that, you'll be able to synchronize it back to other devices that are connected as long as they are authorized to play it if the song is protected with FairPlay.