First of all, there's nothing immoral about shopping around for a new job while you are working. That's the way industry works nowadays, and it's almost expected; nobody stays at one place for 25 years anymore. Plus, it's your life, do what you want.
Hopefully you'll have a boss who wants the best thing for you. My last boss was like that; when our team leader decided to quit and go back to school, my boss gave him his full support, and actually encouraged him to leave because he was too smart for his job! He knew the guy could do better elsewhere. But I guess bosses who have that kind of concern for their employees as individuals are pretty rare. Maybe I should go back to working for that guy...hmmm...