Not sure if there's a limited period to switch between phones, or if it's about number of times done. Since whatsapp.inc has no interest in users using whatsapp in many different devices with same sim card.

The more logic choice (from my personal point of view) is to just stick to one phone for whatsapp use, which could be the one without the sim card, since whatsapp doesn't need it for it to work after you've registered. At least, not in android (I've tested this behaviour with a Samsung Galaxy I9003 and using Bluestack to emulate android system on my computer)

Edit: just to be sure i make myself clear.. Whatsapp takes into account the device IMEI during login and not the sim card presence. And as it can use wifi to send and receive messages, sim card is actually not needed for anything but receiving the sms during register (and 3g, if you really need it), so after you've done that, you can take it and place in another phone WITHOUT trying to login into whatsapp in that new phone.