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The MBPs can in fact hot-swap batteries. While it doesn't exactly work the same as the PowerBooks it does work fine and in some ways it's better than the PBs. If you have disabled Safe Sleep then this is your problem as you need it. With a Safe Sleep, everything in RAM gets copied to hard drive so when it loses power, all can be restored. So, all you need to do is to sleep your MBP, and when your remove the battery, yes it just shuts off, however, when you return a battery and push the power button it will restore properly from Safe Sleep.
The PBs did it differently and used the PRAM battery to maintain sleep, for around a minute or so, while you swapped batteries. The MBPs can be in Safe Sleep indefinitely.