Hi, I'm from Peru...
-I got a tax refund for the 12 months I worked in the US since Feb 2005 - Feb 2006, but I stayed working 'til July 2006 (So, I haven't filed a tax return for 5 or 6 months of 2006 holding a J1 visa). I started on an H1b visa since Oct 2007.
-What should I do? Should I file in 2 different forms? How does this work?

You may need to file a return for the remaining time in 2006. I would need to see your visa and the pay documents or Form W-2 to be sure. You would file Form 1040NR because you would probably claim moving expenses using Form 3903 with the Form 1040NR.

For 2007, you would also file Form 1040NR, again claiming moving expenses.

You must file tax return for 2006.
Normally a tax year is from Jan to December. But you said that you filed for a period of Feb 2005 to Feb 2006, which does not appear to be correct.
You will file 2006 tax return as non resident and will claim only personal exemption of $3,400 and itemized deductions.

Agreed!