Allen key works fine. Just as you suggested.
These pedals can't be installed with a regular pedal wrench because a regular wrench is too thick. You have to use a thin 15mm wrench. (However, you might be able to tighten them with an allen key though at the moment I forget if this is possible. I just use the wrench.)
I've never put them in that bag after removing them for the first time.
MKS gives you a small bag in which to store the pedals, but if you have toe grips (or PowerGrips) you won't be able to fit these pedals into the bag easily, if at all.
One fellow with the promenades
Lastly, these pedals are fairly expensive, but I would definitely buy more if I had to.
(The Promenades shown above look to be an ideal width as the AR-2's are narrow. Harris Cyclery didn't have the Promenade quick-releases at the time I was buying.)