I don't remember how the FAQs explain when to swap, but it helped me somewhat to understand what's going on when the Saturn boots. To put it simply, there are three tasks that it must do to boot the CD. Checking the copy protection is the second task, and is the only one that needs the original CD in the drive (this means that there are two swaps needed - one swap before the copy check and one swap after). Here's a general guide:
1) Put in the CD-R and turn on the system.
2) Wait for the Saturn logo screen to assemble. During this time the Saturn reads the TOC from the CD-R (task 1). If you have a Saturn with access light you can tell when it's done doing this, but it will almost always be done by the time the Saturn logo screen is complete unless the CD is dirty or damaged.
3) When the Saturn logo screen is complete, take out the CD-R and put in an original Saturn disc.
4) Now the Saturn will check for the ring that is on the edge of all official Saturn discs (task 2). You should be able to hear the laser make a big movement right now, because it is going all the way from one end of the CD to the other. After the laser has moved, the access light will blink a few times as it reads the ring. Once the Saturn sees the ring, it is ready to return to the start of the disc and load the boot program (task 3). The laser will make another big movement - when you hear this movement, take out the original disc and put the CD-R back in. Now the Saturn will load the boot program from the CD-R and start the game.
Note: if you get the error message "Dischetto giocho incompatible col sistema" (this may not be completely correct, the message wasn't displayed long enough for me to type it) then you need to use the Saturn Country Code tool (in the misc section) to change the disc image. It won't work on CloneCD files, but you can use EZCD Pro, also in the misc. section, to read the disc you already have into a standard file. You can also get a cartridge that will bypass the country check.