How to interview in a different city without risking your current job?

Answer:

I would be unbelievably wealthy if I had a nickel for every time a lateral candidate said to me, "I'd like to attend the interview, but taking time off risks my current position, so I really would rather do a phone interview or push the meeting off for a few weeks until we get more responses from other firms and then schedule all the interviews at once."

In theory, this is a great idea. You know it. We, as your recruiters, know it. In reality, however, lateral interviewing rarely plays out as neatly as the above comment would suggest.