Two things happen when you change the URL for your ads; the quality score for the ad needs to be re-evaluated as it is a new ad, and it needs to be reviewed and approved again.
The latter is especially important if you were showing above the search results, as only approved ads can show in those top positions.
For the former, the ad itself does play a large role in the quality score of the keyword, but the effects of changing the URLs only should not have a major lasting effect, if the content of the two domains is the same. A return to normal performance usually doesn't take more than a few days.
If you're just testing new ad text variations, leaving your existing one running to test it against the new one is always a good idea. In addition to giving the new text a chance to build up a quality score of it's own, you also get a chance to do a comparison of response to your new text next to your old.