I haven't experienced any lock-ups by turning it off and on with the card still in. Be aware though that it drains the batteries real fast.
In fact, I am using it right now to reply to your question! My brightness is at 5 (quite readable) and speed is Standard and I am losing a few percent of battery power every minute (maybe more than that... I've lost 15% since I started writing this!)
I imagine you might get a little better battery life using Power Save mode and the lowest brightness setting (or even turn the brightness off if you can read it). But, frankly, it's the card that's really using all the juice. I might give it a test later to see if there is any significant difference in battery life with the lower brightness and power settings but right now she's due for a little R+R, rest and recharge.
And yes, I am using it with the A620.