One of my pet peeves about the Sitecore Web Forms for Marketers module is that it manages the forms database connection string in its own config file, instead of the regular ConnectionStrings.config file.
Fortunately this is easy to fix if you want to manage all your connection strings in one place. First, you need to override the default WFMDataProvider like so:
Then, you modify the data provider declaration in App_Config\Include\forms.config (replace the namespace and assembly with wherever you place the class above in your project):
Finally, simply add a connection string named forms (or whatever name you configured in forms.config above) to your ConnectionStrings.config and you’re good to go!