I just changed the Heim in mine (piece of cake) 1 hr total time including cleanup - pretty simple. I noticed that I could lift up on the rear wheel a little while on a stand.
Now that I have had it apart (2 1/2 years on 1 bearing) I can see how you would not want this loose condition to exist for very long. That swing arm aluminum is not the hardest material. I think that housing could take a real beating! I wouldn't wait too long.
Protect your investment. Wrap it with a old piece of tube or go buy 2 o-rings slightly larger than the heim and place them between the shock and heim and you will definitly get more bang for your buck.
p.s. I saw a post in yahoo ktm250owners egroup that advertises the heim kit for $40.
FWIW, I got caught between a new heim bearing and a race, so I have performed an informal test of how long the bearing will hold up once it starts to go away. Mine got three rides on it after I discovered it was loose, then I went to E. Washington and rode the Desert 100 with the worn heim. It held up just fine to 100 miles of endless whoops. Upon removal I could see where the race had been pounded very thing, but the swingarm was undamaged and two plates that fit to each side of the heim were intact. This information comes with the typical disclaimer, but IMO if the heim is a little worn and you must ride before replacing it, it should hold up.