If your system has no leaks, then having a blanced system and leaving the gas connected is definitely the way to go. It only takes a few days for the keg to properly carbonate itself this way but if you are always a keg ahead of yourself this is no drama, and the payoff is that you don't constantly have to keep screwing with it. You just hook up your new keg and away you go.
DT, as others have mentioned you will find that there is no way to avoid the first bit of froth, possibly with the exception of having a frozen font setup (even when I had a font flooded with glycol from the freezer I'd still get a frothy first pour - unless it's EXACTLY the same temp (or colder!) all the way through, the gas will still try to come out of solution).
The way I handle it is to just alternate between two glasses - just pour the initial froth into an empty glass, then pour yourself a good beer as normal into a second glass. When you come back for your next beer, first run any new froth into the glass you've just emptied, then take the first glass (which by now will have settled down to a few mls of beer) and fill that - and so on.
If you're having a session and keeping the tap busy every few minutes it won't be an issue.