Thanks so much for posting this because it reminded me that I wanted to change my batteries this morning! :)
I'm still a newbie too, but I just changed by batteries for the 2nd time while still active and no loss of data or problems with losing time. I read in the manual that batteries should be changed about every 3 weeks. After 3 weeks, the battery indicator on my PDM is almost empty but not quite, but I change the batteries out anyway. Of course, I'm still tweaking my basals alot so I use my PDM frequently.
The OmniPod trainer for our area told me when I first got mine that you don't want to let the batteries run completely out because then the bolus calculator won't work for a few hours and you're at risk of losing data.
The only problem I've had with my PDM so far is that several times I've gotten a "stuck key" alarm. Anybody had this problem? Customer service told me if it kept happening to let them know and they'd replace the PDM.