Yes, it would be cool. Unfortunately, the library (RXTX) we're using to do serial communication doesn't support 31250 - and I'm not sure the FTDI drivers do either (though you can modify them on Windows so that what appears to your software to be 38400 is actually talking to the hardware at 31250).
I will try this tips. But where can I change this ? Is there any setting files (sorry I haven't yet try to 'hack' Arduino) ?
The second suggestion is interesting. I can see why it would be convenient to be able to continue to monitor the serial port as you update your code.
Sorry if was not clear enough, I meant that the monitoring stay active even after an upload, not during the upload. The problem is that monitoring is no more activated after an updload. When I'm developping a code and need debugging then recoding then re-uploading, it's a pain to have to reactivate the monitor button. I see two options, a detached and always active monitoring window or to insert the output from the compilation and upload process in the debug traces but in a different color.
Like on some IDE (like Eclipse, to speak Open Sources), the console include application debugging and compilation output.