Never an easy job. Especially complicated when you are moving to another company in the same domain.
Couple of tenets to go by -
1. Inform your current company as soon as you have made any concrete plans. Be completely up front on your move. I had some people suggest that I do not need to tell my company where I am going - and they were right from a strict legal standpoint. But you do not want to be involved in any kind of conversations that could be deemed competitive during the transition out of the company, so I decided to inform them immediately. In my case, my manager was working late, so I went and told him as soon as I had faxed my acceptance letter to my new company...
2. Do _not_ try to copy or save any material - confidential or not. On a side note, I would refrain from keeping any personal material on your work laptop. Gets tricky when you need to decide whether you should move it off the laptop or not. I decided to leave it all, except for some personal pictures. And I did that a while before leaving.
3. Meet and talk to as many people as you can. Unless you are a slimeball, they will understand that you had good reasons to leave. A boss once told me that the only loyalty anyone should have is to people - not to companies. It is a good idea to ensure that you don't burn those bridges as much as possible.
4. Finally, remember that you _have_ to take care of yourself. If you are like me, you probably have pretty much given your life to work, and feel bad about leaving. But by the same token, you have no obligations - you have given more than enough. You have to take the decision that is best for you, and you need to take it now.