I use a magnetic CPL (MagFilter) on my Sony compact, although with a compact lacking a filter thread you've not much option.
I can't really see the benefit for a camera or lens that has a filter thread though, it's not as if when you've decided to shoot with a CPL you're repeatedly removing and adding it in a short space of time. It sounds like the solution to a problem that doesn't exist. Why are you adding and removing the CPL between shots so often that it's a problem?