I think it's better to pull the memory card and use a card reader to download the images, for several reasons.
I use 12 memory cards at present, so I swap them out a lot: ten 8GB that I mostly use in a pair of 7Ds and a couple 16GB that mostly get used in my 5D2. That gives me about 270-300 RAWs per card with the 7Ds and around 480-540 RAWs per card with the 5D2 (if they go on sale, I might pick up a couple more of those 16GB cards). I'm from the "don't put all your eggs in one basket" school of thought. Actually, if needed I have a couple dozen more cards... smaller, slower cards that I used with older, lower resolution cameras in the past.
At any rate, I've never damaged a card socket in any way in 8 years of shooting digital and swapping cards rapidly during shoots... a lot! Knock on wood. I have pulled a card out too fast and corrupted images on it... once. But that was while using a 30D and older memory cards that are slower writing than the 7Ds and UDMA cards I'm using now.
It's far faster downloading through the SATA connected card reader that's built into my PC, than through any USB connector I've used (USB 3 or Firewire might be faster, I dunno). The ExpressCard adapter I use in my laptop also is fast... 54MB/sec if I recall correctly. Download speed is a major consideration when I need to unload 3000+ images from a day's shoot (last Saturday's).
I also don't have to worry about corrupted files due to the connecting cord between camera and computer (I have had file corruption problems with external card readers in the past, USB 2 connected).
I can swap out a memory card in about 4 or 5 seconds, and that includes formatting the fresh card in-camera and putting the full card away securely in a card storage case. Sure, I've missed a few shots swapping cards at inopportune times, but what the heck. I try to watch remaining shots and change cards when there's a break in the action, but sometimes don't swap in time.