In my view, a Canon XSi, or XTi is all you need, and if you want a step higher, then a 40D. The 40D, now that the 50D is out on the market can save you a lot of cash.
I don't know anything about the Nikon D40, but even the old Canon XT can be set for fast moving subject shooting, and the same feature should be available with the Nikon 40D. Yes, a fast lens is always good, but you should be able to set your camera so it tracks and maintains focus on a moving subject. With the XT series as well as the 40D I use, I set the ISO to Auto, then AI-Servo, burst mode (for multi shots), and center focus point. I use the center focus point to lock on a specific subject (one person, for example), and partially press and hold the shutter button for the AI-Servo to lock and maintain the focus on that subject while it moves around. At that point all I have to do is to press the shutter button further, and several photos are taken within a second.
I imagine that your D40 takes around 3 photos per second, and that should be fine if properly set to track and maintain focus on the subject. Faster speeds are nicer, but even some of the professional cameras out there take around 3 photos per second.