|Technically speaking, the data should stay on the switch once communication between the two clients has been established. The switch may send the data back to the router at the begining of the communication, it wouldn't surprise me with SOHO level equipment, but since it has a MAC to port table, the data really shouldn't ever leave the switch.|
As Orangeboy said, you could simply shut the router down while transferring data to test.
The difference between a hub and a switch is that a hub broadcasts to all ports and a switch keeps a table of what is plugged in to which port (by MAC address) so there's no "some switches are intelligent enough to know that the MAC addresses are attached via it's ports and control traffic that way All switches should intelligently manage traffic this way. If it doesn't, it's not a switch.
All a SOHO Router is, is a switch with NAT, DHCP and a firewall added on to it.