I did a little experiment taking 10 shots on my D800 in RAW (74meg) on my Scandisk Extreme Pro 16G SDHC card and 10 shots on a 32G Scandisk Extreme Pro CF 1 card. Downloading thru the D800 the CF card took 30 seconds and the SDHC about 27 seconds. I think that using a 2.0 USB port that the speeds of the two types of cards are comparable. Thus for the same speed SDHC may be a better value right now.
Clearly if you have a USB 3.0 port speeds will increase.
I much prefer leaving the card in the camera as the odds of a broken pin ,dirt etc are near zero.