Virgil Dobjanschi presentation is a good resource as pointed earlier, which basically tells you to run your requests from a background service so the activity does not get destroyed and to store your data in the database as early as possible.
For more technical details, the way I am doing it is to divide the app into three components:
1- Library to encapsulate the handling of the HTTP request and response (with ApacheHTTP), which can handle simple request/response and advanced features that might involve cookies (can be necessary for login) and modifying the HTTP header.
2- Marshal/Unmarsha layer, where I parse the server data (e.g. XML or JSON) and convert it to objects (i.e. models) that the rest of my app will deal with.
3- Persistence layer.
As per Dobjanschi's presentation, I usually make data requests run in a service not in a thread worker inside the activity.