A couple of thoughts:
First, I didn't hear Romney use the word "Mormon" (or a variant of the word) a single time during the speech. (For what it's worth, I just heard a CNN commentator say he used the word once.) But if you were watching on CNN, you saw this weird red graphic appear on the left-hand third of your screen a few minutes into the speech, with the word "Mormon" in big block letters and various disconcerting facts scrolling across the bottom of it. (E.g., Joseph Smith claimed God told him to take more than one wife, the Church's ban on African-American priests prior to 1978, etc.) Not only was it incredibly distracting, but it obviously introduced precisely the kind of specificity Romeny was trying to avoid. I suspect the Republican beef with CNN, which was already sizeable after last week's YouTube debate, will only grow.
Second, Romney was very savvy about using religion in much the same way Giuliani uses his pro-choice abortion views: As a testament to his integrity, something people have questioned in light of Romney's various conversions on social issues. "Americans do not respect believers of convenience," he said, "those who would jettison their beliefs even to gain the world." Translation: "You may have reservations about my religion, but I won't pretend I'm something I'm not (or that I'm not something I am) just to win the White House, so we're just going to have to agree to disagree on doctrinal matters." This was deftly executed.
Third, Romney took care to join the religious-conservative side of the war on Christmas (i.e., the defenders of Christmas). In some respects, this was a religious version of another Giuliani move, which is to make common cause with conservatives in the fight against overweening liberals. (That would be Hillary Clinton and The New York Times in Giuliani's case; the secularist left in Romney's case). "Nativity scenes and menorahs should be welcome in our public places," Romney said. Translation: You may have reservations about my religion, but let's not get too caught up in them at a time when all of our religions face real threats from non-believers." Just before this line, Romney dropped a very interesting phrase: "The religion of secularism." Is it just me, or is it slightly bizarre to use the word "religion" in a derogatory way--to conjure up dogma, irrationality, intolerance--in a speech defending religion?
Fourth, Romney tried, in subtle and not so subtle ways, to place his beliefs in the evangelical Christian mainstream, going so far as to quote from the New Testament: "I was hungered and he gave me meat, I was thirsty and he gave me drink..." Earlier he said, "I believe Jesus Christ is the son of God and the savior of mankind." This stuff came off sounding relatively genuine to me, all things considered.
Fifth, Romney implied that his new position on abortion was more consistent with his personal faith than his old one. "We believe every human being is a child of God," he said. He went on in this vein for a few minutes. The hope all along has been that, even if conservatives had reservations about Mormonism, they'd be inclined to associate a Mormon with a socially conservative worldview. I think that's probably true, and Romney took advantage of that association here.
Sixth, Romney subtlely argued that Mormons weren't persecuted in the 19th-century because of anything bizarre or perverse about their religion, but because in the early years of the country (which, or course, came a century or two earlier), we didn't always do a great job of practicing religious pluralism in general. "Today's generation of Americans has always known religious liberty," he said, but the early settlers of the country, "upon finding it themselves, sometimes denied it to others." He placed Brigham Young in a historical line dating back to Anne Hutchinson, the dissident 17th-century Massachusetts Puritan. This seemed like a bit of a stretch, but the broader point--that religions and religious leaders have been targets of discrimination for no good reason even in this country--was legitimate and probably helpful.
Bottom line: This was a pretty well-constructed, well-executed speech. Skeptical religious conservatives should feel somewhat reassured after watching it. But it may nonetheless cause Romney problems, since it gives the press license to elaborate on the less-savory particulars of Mormonism. CNN's graphic was kind of the reductio ad absurdum of that, but I suspect you'll see more than a few MSM accounts noting that he didn't get into any particulars, then giving examples of what went unmentioned.
Update: Romney did use the word "Mormon" once--a reference to his "Mormon faith." Not sure how I missed it, but everyone else seems to have heard it...