Given that you're aware of the necessity of the SharePoint 2010 intermediary farm, there are no "extra" steps involved specifically related to a migration from an Express edition to a Server edition of SQL.
However, be aware that SharePoint 2010 does not support SQL Server 2014, so you will need to setup a SQL Server version which supports SharePoint 2010 for the intermediary migration farm. This would be one of the following:
SQL Server 2008 SP1 w/ CU2
SQL Server 2008 R2
SQL Server 2012 (with SharePoint 2010 SP1+)
SharePoint 2010 Software Requirements: https://technet.microsoft.com/en-us/library/cc262485(office.14).aspx#section4
SharePoint 2007 SQL Express to SQL Server Migration: https://technet.microsoft.com/en-us/library/cc262018(office.12).aspx
Hope this helps!