[stigmata]

Fortunately I changed over to GBP when the rate was quite good, so I have essentially avoided this whole fiasco.

Drawbacks:
1) You initially get charged conversion rate on your WHOLE bankroll.
2) If you change to GBP (or whatever) and have a USD neteller account, you will get hit with the exchange rate when transferring between them.

I think the best idea for many people would be something like this:
1) Cash out most money to neteller, leaving themselves with a minimal party roll (e.g. 5-10 buyins).
2) Then convert this to home currency, so that the conversion hit is kept to a minimum
3) Hope to grind out a decent roll on party again before going busto.

Once you have your roll in home currency, you don't have to worry about currency conversion ever again. When you sit/leave a table, it uses the same rate. Thus, all that happens with fluctuating exchange rates is that you are essentially playing slightly higher/lower stakes. The only real issue I can think of is if you expect to be transferring money between different sites very often (e.g. through neteller), it probably wouldn't be worthwhile.