There's a great site with loads of CD32 technical information. Of course, I can't remember the name or the address. I think it's been mentioned in the news here on Amiga.org once or twice.
As I recall, you can swap in an IDE cd drive on the SX-32, but you lose cd.device and autobooting of CD32 software. You can get around that with some other utilities though. CDBoot, for example. You'll need a CDFS, etc.
3.9 should run on a CD32, though I've had trouble getting it to work. Make sure you have enough fast RAM.
As for power, I was able to run a CD32, SX-1, floppy, mouse and joystick, and VideoCD cartridge on the standard Commodore supply. It was extremely crash prone and barely worked at all, but it did for a time. I'm using a bigfoot 200W now. I don't know how much power laptop batteries provide, but if they can run P4s, I'm sure you'll be fine... provided you can get it hooked up to begin with.
