If you press and hold your finger in any text input box, such as a text message, you'll get a box come up where you can select the standard keyboard. Then you just do the same again to reselect the Swype keyboard.
Myself and a couple of other people I know all have off-contract HTC Desires and this happens every time the phone is switched off and occasionally at other times too. We are all on the latest Froyo build, and I'm definitely on the latest beta version of Swype too. It didn't happen on the first version of Swype I installed about a year ago but has with every version since.
Which phone are you using? Did Swype come pre-installed on your phone or are you also using the Swype beta?