There is a very short time delay. The best thing to do is have the batteries ready to put in and then
do it as fast as you can. I think there is a two minute delay.

Try replacing the batteries one at a time, so that you always have six batteries (a mix of old and new) in the RCX during the replacement process. I find this helps a lot.

I use the optional ac power supply. Plug it in first, then replace the batteries. That will keep all programs.

Try replacing one battery at a time, this has worked for a colleague of mine