If you are concerned about radio code etc. (assuming you've not got the code) why not hook up jump leads from your car battery terminal connectors to your new battery, undo and remove the old battery, place the new battery in position, put the connectors on to the new battery and remove the jump leads. Cover the leads with rag to avoid shorting against the car body whilst doing the above.

Failing that, undo the battery leads and clamp, ignition on, ignition off, whip off leads, replace battery, replace leads and your sorted. The 15 seconds warning is to stop the powersounder going off.

I wouldn't be running it while changing the battery when there is no need to, bearing in mind the potential damage it could do.

Edit:
Just re-read my post and it's not very clear what I meant.

Jump leads from the car terminal
clamps to the new battery terminals. Remove old battery, put new battery in place and nip up the terminal clamps. Then remove jump leads. That way the car has never lost 12V supply.
