I'm not a fan of memory sticks either. I got a P800 a couple of weeks ago and when I saw the MS duo, I thought that at last Sony had relented and had switched to the MMC standard. But alas, it is just a slightly smaller card that looks similar. There are third-party memory sticks available for much less than Sony units, so check around for prices.
BTW, I sent the P800 back - I hated it. If you've not had a chance to use it for a few minutes, make sure you do before you buy - the interface and usability is appallingly bad and the lack of predictive text entry is unforgivable in a phone where they've managed to stuff every other feature in.