This question is over a year old, so this is a great time to answer it!

I physically swap the battery all the time, yes. The big pro is that when you use the N800 you are never tied to an electric outlet. As far as I know, there are no cons.

I'm still a fairly fierce proponent of third-party batteries, BTW. I have an N800 and N810, and the total number of genuine Nokia batteries I am using is 0. That's because my impression is that the particular third-party batteries I have are of better quality than the Nokia batteries. I have no particular evidence of that, just a feeling.

Unfortunately, I don't remember the places I bought them from. I have given address information about batteries before, so it's in the records someplace...