Living in a non Muslim Country
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Praise be to Allah, the Lord of the World; and may His blessings and peace be upon our Prophet Muhammad and upon all his Family and Companions.

The rule for the necessity of the immigration depends on the status of the people and the circumstances of the country. Regarding this matter Ibn Qudamah wrote in his book Al-Mughni: there are three types of migrations:
1) The migration which is obligatory on the Muslim who is able enough to migrate, of the same time he stays among the unbelievers and he's incapable to manifest his religious duties. For this person the immigration is obligatory. Allah Says (interpretation of meaning): {Verily! As for those whom the angels take (in death) while they are wronging themselves (as they stayed among the disbelievers even though emigration was obligatory for them), they (angels) say (to them): "In what (condition) were you?" They reply: "We were weak and oppressed on earth." They (angels) say: "Was not the earth of Allâh spacious enough for you to emigrate therein?" Such men will find their abode in Hell - What an evil destination!} [4:97]. This is a severe threat which indicates its strict imperative. Because the performance of the religious duties is absolutely obligatory, we see that migration is an urgent requirement and its supplement, so what cannot complete the absolute obligatory except with it, that thing itself becomes obligatory.
2) The migration which is not obligatory. It is not obligatory on the person who is unable to migrate because of illness, or the person forced to dwell in that place, or the feeble among the woman, children and old men. So migration is not obligatory on them.
Allah Says (interpretation of meaning): {Except the weak ones among men, women and children who cannot devise a plan, nor are they able to direct their way. For these there is hope that Allâh will forgive them, and Allâh is Ever Oft Pardoning, Oft-Forgiving} [4:98-99].
It is not attributed as recommendable, because there is no possibility for it.
3) The migration which is recommendable and it is not obligatory on the person who is able to migrate and at the same time he is able to perform his religious duties, staying amongst unbelievers. For him the migration is recommendable, so that he can establish the 'Jihad', and stay with Muslim majority helping them. On the other hand, he gets free of the unbelievers and their companionship and abominable acts.
He can practice his religion without migration, so it's not an obligation on him. It is reported that the Prophet's (Sallallahu Alaihi wa Sallam) uncle Abbas was staying in Makkah keeping his Islam. It is reported that when Nu'aim al-Nahham wanted to migrate, his people Banu Adiyy came to him saying: 'Stay with us and keep your religion (Islam), we will protect you;' he was helping Banu Adiyyy's orphans and widows'. He postponed the migration for some period, then he migrated. Allah's Messenger (Sallallahu Alaihi wa Sallam) said to him: "Your people were better than mine, my people threw me out (from Makkah) trying to kill me, your people guarded you and defended". He said: 'O! Messenger of Allah! Your people threw you out into obedience to Allah, and fighting against His enemy, my people demoralized me from migration and obedience to Allah".
So the Muslim who is secure, together with his property and family, and doesn't fear for his security, and it is difficult for all of them to fall into abominable acts, practicing religious duties in the un-Islamic country, there is no need to migrate. But it is recommendable to migrate to Islamic countries to stay amongst Muslims, because of the innumerable benefits, such is; prayer in the community, hearing the prayer call, seeing good Muslims, their few bad acts and their many good and kind acts for which they are rewarded with goodness and uprightness.
Regarding the Prophet's (Sallallahu Alaihi wa Sallam) words: "I am free from every Muslim who stays among the polytheists". It means those whose religion is not secure.
Concerning moving from one un-Islamic country to another, we should know that an un-Islamic country that is not at war with the Muslims is considered better than other un-Islamic countries. So, there is no objection for moving, especially if there is a legal benefit for the Muslim such as seeking the knowledge or calling to Islam, or mutual assistance in performance of good and devotion to God.
Allah knows best.