I personally start the car at this point saves faffing about for codes/resetting windows etc.
If you're suggesting leaving the engine running whilst removing the battery this is a very bad idea. The battery acts as a very large smoothing capacitor. Without it there will be a lot of voltage spikes on the electrical system which can damage sensitive electronics like the ECU, GEM and instrument cluster. Also if the positive battery lead accidentally touches the chassis you could instantly blow your alternator.
If you want to avoid 'faffing about with codes' the best way is to connect a small battery across the leads before disconnecting them. That will maintain your codes and in case of an accidental short the small battery won't provide enough current to do any damage. You can make up a 12V battery from 8 AA cells using a battery box like this. I think it's possible to connect this using the 12V cig lighter socket as long as this is permanently live.