Urmmmm the whole point of an SLR is that you can swap to the appropriate lens as needed. I just don't get why you wouldn't swap out lenses. I swap 100s of times in a day, nothing has lens caps on or stupid UV filters, quick easy and if you buy good lenses in the first place they will stand up to the knock about no problems at all.

I do put an lens cap on my fisheye actually, but only so I can stack another lens on top of it in the bag.

If you are shooting at f1.4-f2.8 dust on the sensor just isn't a problem either.

Edit - I can highly recommend this bag, I can fit everything I need for a wedding in this... http://www.thinktankphoto.com/products/retrospective-lens-changer-3-black-shoulder-bag.aspx

Cheers

Cris