The only official way to get rid of the security popups, is to sign your midlet using a certificate from Thawte or Verisign. Such a certificate will cost you $299 a year. Of course no indie developer can afford to pay that amount, especially if his apps are mostly for himself.
Therefor people has invented unofficial ways to get rid of them.
For Sony Ericsson's feature phones, you can apply a patch on the individual phone to remove all security popups. I've done this a few times, and it's awesome! Finally I can create useful apps because nothing prevents them from running.
The downside is that it obviously won't help all your customers. If you have a bunch of customers, you can't escape the signing part.
But if you code small apps mostly for yourself, then patching can be very stress relieving. :-)
I don't know how to patch other brands of phones though. Therefor I recently asked this question here at stackoverflow.com. But my question was closed. Apparently administrators don't think it's relevant. I tried to explain why I thought it was relevant in relation to "tools used by developers", but then they removed the post.