I am sure books running off the SD card seem a little slower on the page turns. So, for me, I would rather have my books directly on the reader and not on a card at all.
I wasn't going to bother with memory cards in the reader. However I was having problems loading some of my library books on to the sony as they kept on coming up with a Protected Page error and I couldn't read them. I resolved this by putting an SD card into the reader and transferring the library books in Adobe Digital Editions straight onto the card. Now they work! Why this should be I don't know but it works so I'm not knocking it