with a handheld you can just apply the changes to the ECU direct. the handhelds will take the stock tune and store it inside the handheld, and load their tune onto the onboard ECU, thus mating the handheld to your car. rather stupid but its how they get away with making you pay 400$ for some stupid craptastic handheld.
also some of the chips have the ability to store multiple tunes and switch between the tunes at any given time, so if you get the xcal you can get the chip that stores 4 tunes or whatever, have 4 different tunes, one for mileage, one for mild street performance (a good 91-93 octane tune), one for track (timing and fuel map set for 100+ octane) and one tune for say, a 50shot of nitrous.