Moving is already a costly affair. When you add exchange rates, shipping, taxes, and visas—just to name a few—suddenly it's five times more expensive. Making a budget, is key before deciding whether you want to move or not. Get online and research where you want to live, look at budget samples for that country, and see what expenses people generally have.
Having a budget, even just a rough estimate, will help you straighten out your plans, and determine whether they are realistic and achievable or not.