Thank you for your question.
You are entitled to submit a new W-4 at anytime during the year to your employer. While I always advise to adjust the W-4 to the level you do not have to pay in, you certainly may do what you suggest.
As long as your withholdilng during 2009 is close to your 2008 tax liability you will not incur any interest or penalties.
However be aware of the following:
1. If your employer has a 401(k) then you will not be eligible for an IRA because you are already covered by a retirment plan.
2. The simple act of having contributions of 5% of your income to a 401(k) may result in getting back more money in your pay check.
3. You have to have an IRA established by yaer to take advantage of hte following: you have until the filing dead line to make contributions to take the deduction in the current year filing. That means if you already had an IRA account established in 2008, whether or not you actually made contributions before year end, you woudl have until April 15th, 2009 to make contributions to use as a tax deduction for your 2008 return.
Now that should result in an aha moment for you.
Let me know if you have any other questions about this subject.