So, you have a bunch of answers all across the board.
I think I would agree that a better answer to a bigger gas supply is a bigger tank. But if you are going out on boats or renting tanks from operators where you are diving, that might not be an option.
It is also better to work on the things that are causing you to use your gas so fast, but that takes time.
In the meantime, if you ARE going to use a slung bottle for extra gas, you should understand what's involved. First off, it is a generally accepted principle that you use offboard gas first. The gas on your back is reliably with you; the gas in an extra bottle is a bit less reliable, and therefore is used first. Be aware that, if you intend to breathe a 40 down to 100 psi or so, it will become positive, and this will affect your buoyancy.
Secondly, if you are going to breathe that tank first, and switch, you need to be able to maintain buoyancy, trim, position, and buddy awareness during the gas switching process. This takes practice, which should be done in shallow, benign conditions (even a pool) until you are sure of yourself. I find stowing stage regs to be a pain, myself, but you need to be able to do it quickly and neatly, so the stage reg does not become an entanglement hazard.
Third, your buddy needs to understand what you are going to be doing, so he can receive the signal that you are going to switch, and monitor you for any problems during the switch (for example, finding that your backgas wasn't turned on, or fumbling the change of regulator). Obviously, both tanks need to be properly labeled for contents and MOD as well. (This could be very important on a pony, since a lot of people might assume that a 40 has something other than air in it, and might grab your bottle if someone needed emergency O2.)
Wookie brings up a good point, that some operators might not permit you to do this, but if you are shore diving, it's pretty much up to you.
I see no problem with carrying extra gas, so long as you have the understanding and the skills to do it safely.