Switching database on the fly

Yes it works!

This is the code, assuming both the databases share the same username & password:

$wpdb->select('mydbname');
wp_cache_flush();

Once done, re-issue the same statements, with the original database name.

Can’t see any performance issue at the moment, maybe because this is done when building a custom form picking data from two posts out of two databases.
It may impact performance when used on a large amount of rows in batch loop…