Dave Parker MVP:"when do I actually take the SD cards out of the device"
This was a question that I posed myself, but I have three cards. An 8Gb full of Music, Photos and .cab files, a 2Gb full of films and a 1Gb which use as a backup for very favourite items. I switch between them on a daily basis.
Also, the time difference between copying data with a card reader, or having to pull them through ActiveSync is so far apart that non removable storage remains out of the question.