I think changing the URL is going to be tricky as UDF uses the built in Form classes in SilverStripe. I'm pretty sure you cannot change the action to be external for built in forms. If you wanted to then the way I would imagine you could do it is to alter the Form objects html using an extension to UserDefinedForm. You can customize the form by defining a function updateForm(&$form) in your extension but still not 100% sure how you would get access to the FormAction.
Is there anything else that I could use so that I can use a custom form that posts to an external URL?
If the form is static (aka they don't need to change it in the CMS) then simply make your own shortcode handler. You can then make a template file that has the form html you require it in and you bypass the SilverStripe form functionality entirely.
Ah ok then I guess your best option is to subclass the UserDefinedForm class (and its controller) and replace the UserDefinedForm_Controller process() function to post to your Wufoo URL. You would probably also need to tweak the process function to make the submitted data make the Wufoo fields since UDF will have form fields with names such as 'EditableTextField12' which Wufoo would not know how to handle.