Actually, you can swap them out, they have been using the same type of connection for years on laptops now - but
obtaining the replacement is where you get into trouble, b/c of the compact spacing allowed in laptops, trying to put in a more powerful card can actually backfire if there is not sufficient cooling to keep the cards from overheating - a fact that nVidia found out the hard way when OEMs started shipping, IIRC, GTX280M cards in their laptops, running full steam, only to have the cards start failing left and right b/c of overheating issues.
This external card idea sounds OK, but seriously, if you're going to game go with a desktop. you'll have much better results with hardware that you can keep reasonably cooled as well as much more powerful (I'd like to see anyone get a pair of GTX260s
plus a GTS 250 dedicated to PhysX in a laptop! Yes, I know, now you can get a laptop with a 460M that will rival my pair of GTX260s any day - and there are a few (high end) laptops that support dual video cards...er, um, but then where does the dedicated PhysX come in?