Hi Exelsus,
Welcome to the world of "in-circuit debugging/programming". You won't look back.
The approach you used with the PIC works well with microcontrollers that can use a socket. But what about the small surface-mount chips? Sockets can be hard to find, and expensive.
The S08s have a pin dedicated to debugging and programming. That pin, along with RESET, power and ground, is what is carried on the six-pin "BDM" cable you speak of. When you design your board, you include a connector for that cable, and you can solder the microcontroller straight onto the board while it is still blank. When you wish to program / debug / update the firmware, you simply plug in the BDM cable. No sockets needed. It also allows you to use the debugger on any board that may be giving you a problem.
As for the price, yes, it is more expensive than $10. But at $50 for the Wiztronics, it is well worth the price. It may be cheaper if you build your own opern-source BDM (see the bottom two forums). I believe it is $100 from Freescale.