You know how installing iOS SDK 4 meant that you lost the ability to set the Base SDK to 3.1.x and lower (You have to use the deployment target etc).
Does the same happen when installing 4.0.2 over the top of 4.0? Will I have to set my Base SDK to 4.0.2 and use the Deployment Target for a lower version (4.x or lower)? Or can I still set my Base SDK to 4.0?
No. The base SDKs that Xcode lets you choose are more major .x releases, not bugfix .x.y releases. 4.0 is still supported as a base SDK, and I imagine it will be for a while. The only reason for the new SDK is to support any testing devices that you may have upgraded to 4.0.2 (or 3.2.2 for the iPad).
It appears that Apple removed 3.x as a base SDK to force people to use it when building applications for submission in order to make sure that all new applications and updates would have support for multitasking (which you get effectively for free when building against 4.0). Apple no longer even accepts applications not using 4.0 as a base SDK for the App Store.