If you want information on ALL of your keywords, then use the
Structure Report in the report service. If you can deal with only
getting information on those that have had activity, then you can just
schedule an automated report in the adWords UI and have it mailed to
you. The latter is great because it is free and because you don't
(usually) need to worry about receiving the data before it's ready in
the Google warehouse (because Google decides when to send you the
file). It's aso great
because the data comes down in CSV format instead of XML, which means
that you can process it a lot faster (not a small consideration if
you're talking about a lot of keywords). If you need bidding
information, (max CPC, etc) then you'll need the Structure Reports,
which can sometimes get to be too large to easily deal with or parse -
I download just under 2m keywords each night, and the processing takes
about 3 hours of wall clock time.
I wouldn't worry about the availability of reporting in the 2009 API -
just keep using the non-2009 ReportingService until the 2009 API
catches up with it.