I wonder what really happened there. I've had my 660 run out of power many times and it's always closed the file gracefully. Anyway if you still have that cf card and haven't overwritten it, you can probably recover the file with a file recovery utility. It's very unlikely that the recording is completely lost except for maybe the last few seconds.
I'm skeptical of that hot swapping trick because of the voltage difference between a charged and near-dead pair of batteries, causing a high drain on the charged cells if you're using rechargeables. But, I also find that with 2500 mah cells I can record 7+ hours nonstop on one set of cells. That should be enough for most shows (at least w/o phantom power which might drain the batts faster).