For those that have never visited the game's official site, you'll be able to connect to your Facebook account, where all of your stats (including your level and energy) and brought over. It's the same setup as playing FarmVille on its official website, rather than on Facebook, as you'll simply be playing on Zynga's proprietary websites, rather than on Facebook proper.
We'll make sure to let you know if Zynga closes more of its MySpace games, but for now, play all you can, while you can, to get the most out of your accounts. Either that, or you can take this as a warning to start fresh on those games' Facebook versions, which (most likely) won't close anytime soon.
Were you a big fan of Mafia Wars on MySpace? Has the game's closure made you choose to switch to other Zynga games on Facebook? Let us know in the comments.