Constantly using the same change address reduces the privacy of your transactions. It makes it easier to analyse your transactions and link them together.
Yeah but then I'd have to eat the Tx fee when I decide to consolidate each one of those change addresses which might hold an amount less than my Tx fee setting. Can I just do a 0-fee consolidation into an address in my own wallet? What are the risks of that? I'm not too concerned about confirmation time since I'd only do this periodically. Sorry for the n00b questions; I'm new to this Armory stuff :]
Why consolidate? There is no need as far as I can tell. Plus again you are reducing you privacy by doing so.
The fees get charged per input. Even if you change are all at the same address they are still each a separate outputs. When you are using these in a tx they adding bytes to the tx the same as if they were in separate addresses, thus increasing the fee in the same way.
Bitcoin transactions work on the output of previous tx not really on addresses.