Most of the phones are equipped with SD cards/slots but as Microsoft dictates: non-user-accesible. If you replace the card the phone will be hard-reset (as all user data, etc. is stored on the card u just removed).
U won't be able to do so without disassembling the phone though.
99.9% it would, yes. Looking at my Mozart, it's not entirely obvious how you could disassemble it if you wanted to!
I know the HD7 seems to have shipped with legacy card, so a Class 6 should be fine and in fact increase performance.