South bound is quite correct. However, there are various options open to you after discussion with the UK taxman.
You can either leave your pension paid in the UK and taxed accordingly but as S'bound says if the tax rate is greater in the country you are going to you will pay the diff to the taxman in that country. Also you have to go through a fairly complex process of looking at the monthly amounts against the approved exchange rate when you do your tax return in the non-UK country.
Alternatively, if that pension is now your only UK income, the taxman if in a good mood can tell Paymaster not to tax the pension. At that point Paymaster can be instructed by you to transfer the pension monthly to an off shore account. You are still liable for the offshore tax but you can invest the unpaid tax until its due.
You also have the ability, even if still paying tax in the UK, to have your pension converted into the currency you wish and sent to an account in the country of domicile.
Just to knock another urban myth on its head -- your Military Pension is index linked from the age of 55 even if you are not in the country. It is only the Government OAP that is not index-linked.
Hope that helps
PM if you need more info