Shaun,
I also have a SWA Visa card. Yes, I pay their annual fee but I pay it off before the due date and avoid all interest. Then, I use the points, fly using Southwest, and go to Vegas quite often. I charge everything on there and remember, you are only liable up to $50 if there are improper purchases. In a debit card, you can run more of a problem.
Good luck and if you need help, feel free to ask.