I'm not sure. What you do is don't do the wipe until you are at the store before you swap the phone. Take your SD out before the wipe and then use that SD card in the swapped phone. Then they will put the blank SD card in the phone you are returning?
You need to see if they will let you keep your sd card, if they dont allow you to do so then you need to fill the card with non sensitive stuff and format, do that atleast 2x. I know that seems extreme but it is very easy to recover info from sd cards. believe me whenever i buy a phone with a sd card i scan it to see what people leave behind. and i do find interesting stuff
To erase the SD card, go into Settings > SD card & phone storage. Then click on Unmount SD card. Once you do that, the Format SD card option becomes highlighted and available. Click on this - this will erase all data from SD card.