There's been a lot of talk about the Steam Deck and SD Cards lately around hot swapping and apparently bricked SD Cards but Valve say it's fine, although improvements are coming.
Part of the problem is that, to be blunt, there's a lot of really bad SD Cards out there that will brick themselves and while some may work properly for a while, they can die easily. Sticking with good known-vendors is always worthwhile for them. Valve has done a few upgrades to the Steam Deck and SteamOS to help, like switching to a quick format in SteamOS 3.2 and warning you if your card isn't what's advertised and more.
You still see scattered reports across Reddit now about SD Cards apparently messing up, and so one user decided to ask Valve Support about hot swapping Micro SD cards and Valve said there that "performing a full shutdown prior to swapping out your SD cards is always best practice" and that you can also "toggle Desktop Mode, and Dolphin file explorer will allow you to eject the SD card before removing it".
However, Valve designer Lawrence Yang said on Twitter that "Ejecting and swapping microSD cards while in game mode is safe (not while running a game off the SD card though, of course). We’ll update our support agent messaging around this question." and another "(Also don’t eject while writing to the microSD card, ie while moving files or downloading a game / update)".
Some updates will come to help though. In reply to a post about having a wrong mount-point so it wasn't detected correctly, Yang mentioned on Twitter "Thanks for the report - we'll implement a fix to prevent Deck from mounting to /run/media. We're also looking into adding a software eject button for the SD card just to be extra safe.".