I Should I set up the 20D for U/W and leave it at that or do I use my new 40D.
I just put my 40D in the Sea & Sea housing and love it, FWIW here is what I looked at and some notes I made on the differences when I had to make the same call.
The 40D has a bigger viewfinder for the tired eyes and better image quaility,
The 40D has a larger buffer, quieter shutter and the sensor cleaning ability. The 40D has better low noise performance at higher ISO, higher resolution 10.1 M vs 8.2, improved faster auto focus that is better in low light.
40D has better menu system, faster shooting rates and LiveView (arguably useful U/W). The ability to store 3 different custom functions (CFWA, macro, fish?). The selected ISO shows up in the viewfinder.
I based my decision on three things in the end, The large LCD (3in. 230,000 pixels vs 1.8 in 118,000) Better AF performance in low light, and better image quality. I looked around the net at side-by-side image comparisons with photos from the 20D, 40D, and 5D. It's almost impossible for me to tell the difference between the 40D and the 5D images, while the 20D and 30D pictures look a little flatter and washed out by comparison.The 40D produces image quality very nearly the equal of the 5D IMHO. The 14-bit A/D conversion vs the 12 on the 20D should mean finer transitions from light to dark tones, and a significant drop in digital and shadow noise. (Sunballs?)
In actual practise now that I've had the new rig in the pool a few times, I absolutely love the big LCD. Shooting manual, I can actually see what the heck I'm doing on the info screen. I'm hoping that translates to a shorter response time and fewer missed opportunities. For me with the older eyes it was an easy decision. Good luck, All the techie stuff aside, at the end of the day if you're in the ocean with a camera in your hands you win. 
Steve