I quick look in the manual and you find a guide on how to change the batteries.
Although, you have to almost completely take the controller apart.
Not exactly ideal and clearly a half baked comeback to the amount of crticism they got when they announced this.
Two problems I have are that You have to press the PS button whenever you play a PS2 game and when you return to the dash from one, which gets a little tiresome. Also if you turn off the mains power, as I do at night for obvious reasons, when you come to turn it back on the controller is no longer paired and you need to manually turn the system on and pair it again, unlike the 360.
I'd much rather have it time out than have to keep pairing it every time I disconnect my PS3 from the mains.
Here's a quick scan of the page from the hardware manual.