Yes, there's no harm in driving around with them, though I've considered getting the much shorter 4dbi antennas to leave on and swap out the larger ones when needed. The antennas themselves are N-male and all of the RF-Linx amps are N-female so I chose a magnetic base that has the matching connector. The antennas you can find inexpensively on ebay, but I ended up buying the base directly from l-com.
That's a DC injector, not an amplifier. You could probably use it to inject the 12V for the SAX amps, but I would check with RF-Linx's support first. As for drilling, I wouldn't bother with that, just solder to the connector inside the amp itself. If I were to do it over again that's what I would do. Simpler and cleaner.