1) Unlock the card. This tells GEOS my intent to remove it, and I read any complaints it has.
2) Once GEOS is happy, I turn off the machine and eject the card using the eject button.
3) I insert the new card, but don't lock it.
4) I turn on the Zoomer.
5) I lock the card.
I don't know if all this is necessary, but I seem to have fewer problems this way.