Moving system database files to new location

Sometimes, we need to move system databases to a different location for various reasons. Moving system databases is little different compared to user databases. TempDB is the usual suspect as it can fill up the disk space and if it is not on a dedicated disk, it can cause more problems. In that case, we can either add a new file or move the TempDB to different drive.

To add new file to TempDB, you can do as below.
USE [MASTER]
GO
Alter database TempDB
Add File (Name= 'TempDev2', FileName = 'E:\TempDBData\TempDev2.ndf',SIZE = 4096MB , FILEGROW =500MB)
Note: TempDB cannot have user defined filegroups. Also, Sql Server uses Proportional Fill algorithm to split the data across multiple files. So, use caution on how you allocate the disk space.

If you could afford some downtime and prefer to move the TempDB files to different location, you can do as below and RESTART the sql server.
USE [MASTER]
GO
Alter database TempDB
MODIFY File (Name= 'TempDev', FileName = 'E:\TempDBData\TempDev.mdf',SIZE = 4096MB , FILEGROW =500MB)
GO
Alter database TempDB
MODIFY File (Name= 'TempLog', FileName = 'E:\TempDBLog\TempLog.ldf',SIZE = 1024MB , FILEGROW =250MB)

NOTE: one of the best practice suggestion is to assign one tempdb file for every 4 logical processors, i.e, if you have 16 logical processors, it is best to have maximum of 4 TempDB files.

MSDB: I recently had to move MSDB to different drive and below are steps I followed to accomplish the same :
1. Use Alter Database .. Modify File .. command to make the sys.database_files point to the new location.
2. We cannot set the MSDB database to offline. So, we need to stop the SQL Server.
3. Copy over the files to new location.
4. Restart the SQL Server.