Create or edit /etc/my.cnf and add or change the keyword datadir to the directory you want e.g.
During installation, Fink set up some files and directories in /sw/var/mysql. Copy the contents of this directory to your new directory e.g.
sudo cp -r /sw/var/mysql/* /Volumes/another/directory
Go to /Volumes/another/directory and set the owner of all contents to mysql e.g.
sudo chown -R mysql /Volumes/another/directory.
At this point you should be able to run 'sudo mysqld_safe.'