Andriasang found a report from someone who got the 3DS Circle Pad Pro (and Monster Hunter Tri-G) a couple of days early, and who found something interesting in the manual. According to the report, once you insert the required AAA battery into the expansion device, it'll run for 480 hours. If this is accurate, you won't have to deal with the annoyance of unscrewing the battery cover very often.
You might be wondering, if the device uses only a little energy, why it doesn't just draw from the 3DS's battery. The answer, of course, is the 3DS's battery.