Sony Reader will "re-index" your card every time you take them out of the Reader or when you add books (either with Sony's software or with Calibre). So if you have lots of books on the card(s), you'll be frustrated waiting for the card to re-index.
Beyond that, I don't think the Reader will "mind" if you switch out cards regularly.
What I have noticed is, if the card doesn't have a folder named "Sony Reader" on it, the Reader doesn't seem to recognize the card at all. Once you have the folder there, even if you put the books just on the root directory (like "E:\book.lrf").
Windows has a limit of the number of files that can be in a root directory, so I wouldn't recommend it if you plan to have lots of books, but it will read books from there.
I have never tried making separate folders - these days, I mostly transfer using Calibre, so I just let it do whatever it will do.
HTH
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