In my experience (of HP-41s), you should make sure that you take less than an hour to change batteries :-)
Seriously, unless there's a fault with the calculator, you've got (at the very least) several minutes to change batteries.
Just make sure you do it with the power off.
And a comment on Lithium batteries -- Lithium has an internal resistance between NiCad and Alkaline, so if you can use Alkaline and Nicad, Li is also OK.
Umm, yes, you can use Nicad in HP41s, so Li is OK.
Just make sure you get 1.5v lithium batteries :-)
As for other N cell using calculators (like the HP28), I have no idea.