Hi Abel, your research is spot on!
It's definitely worth investing in decent lenses.
The new Nikkor 55-200mm is designed to complement the standard kit lens and is a great budget option.
The Nikkor 18-200mm is designed to replace your kit lens and is an ideal all-rounder which of course delivers the same range as the 18-55mm and the 55-200mm together. So you get the convenience of a single lens, less chance of dust etc, but it's more expensive and its popularity means it's often in short supply.
Both have VR for anti-shake and both are AF-S lenses which means they work fine on both the D40x and the D40.
Our review of the Nikkor 18-200mm, which includes a new video tour, is here: http://www.cameralabs.com/reviews/Nikkor18200mm/
Click below for the latest prices from Amazon.com on both lenses and if you decide to buy either of them from Amazon, please first click through to them from these links! Thanks!