Is there any practical difference between using the Lookup Wizard to create a FK relationship, or using the Relationships window?
Creating a relationship through the relationship pane does one thing: it creates a relationship (obviously).

The lookup wizard, by contrast, can do multiple things:


Create a relationship (identical to one created through the relationship pane)
Add a field to the table, set that field to be a combo box based on the relationship storing the foreign key (you can do this manually in table design view as well, but it's not as intuitive)
Dangerous: make that field a multi-valued field so you can store multiple keys in a single row


If you use that last option, you will run into trouble when migrating, since other databases generally don't support multi-valued fields. Also, multi-valued fields are generally a mess to deal with further on, and I highly recommend not using them.

The second option creates somewhat of a mess as well, as the data that's displayed (data from the linked record) is not equal to the data that is stored (the foreign key). This can lead to unexpected behavior when trying to query/filter/export the data (since sometimes you operate on the displayed data, and other times on the stored data), but is not really a problem when migrating it (as it just migrates the foreign keys). You might need to reapply the combo box settings after migrating, though.