You can run "fahxxx.exe -configonly" & it will alter it for you without affecting the running client, however you will need to restart the running client before the settings will be used anyway.
Terminating the client shouldn't lose an entire work unit, just the part of the WU that it's working on now ... 10-20 minutes of work for most people

No guarantee for SMP clients though
If it asks for user confirmation everytime it finishes a WU, then it's obviously wasting alot of Crunching time waiting for the user to hit yes. If you have always on broadband (and who still uses dialup, right?) then 5MB won't make difference in the great scheme of things, although it's potentially about 150-200MB every month, for those of you with download limits. 400/600 if you have a C2D on 24/7 and finish 1.5 WU's a day.
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