I do, and if you don't do it my way I can understand that you get majorly clunkified at it. In fact, it isn't my way but the way of several others here. I'm not a 'fast vet' I think, but I have the fast people with me on this.

WR is no problem really, once you learn to slide down from the W. RW would be worse, but there I'd use a similar technique to the NK/KN one. As you say, you have to use alternative fingering, sliding the middle finger in to N while you place your index finger on the K. It isn't disruptive because the motion is almost the same as the one you'd 'canonically' use. It is the best approach.

The really fast typists on QWERTY tend to do things like this without even giving it a thought. So you'll notice it on Colemak for two reasons: Because it's new so you notice little quirks better, and because you're now spending more time in a home position so you'll better notice deviations from it.

You don't have to learn each word with NK/KN it it. You'll pick up some polygrams pretty quickly and then it becomes second nature and you won't even be thinking about it anymore. Take the 'thinking' I just typed, for instance: To me, that's first a 'thi' roll followed by a 'nk' and a 'ing'. The word splits up into parts that are readily typed, and with experience more and more of these parts are recognized instantly.

Thanks, everybody!  It all makes a lot of sense =)  By the way, I'm convinced I'm hooked to this keyboard layout for life now!  I'm glad I asked, even though I was going in the right direction already, since I've made mistakes of this kind before.  My mom has been typing on QWERTY since 1992, and QWERTZ all her life before that.  She's a professional writer, and yet she manages to somehow be one of the slowest typists of all time with the highest quantity of typos.  But since she types in proper form, I went ahead and asked her how she types her first name (Patty) because on her keyboard, she has to hold the shift while typing P with the same pinky that she types "a" with.  I watched her type it, and her pinky jumped straight from the shift key to the A key with a level of dexterity that it's difficult to imagine my pinky ever having.  I guess at that point, I assumed that that's just what I was supposed to do, and that I must have just done that on QWERTZ without thinking about it.  It didn't occur to me that I would have subconsciously used alternate fingering.  But now I believe that I must have since I now believe that my mom's lack of alternate fingering is what's slowing her down.