Hi John, yes, that should work just fine. I've got EG 4.1 and EG 4.2 running on my laptop right now, and both are using SAS 9.2 Phase 2 to execute code behind the scenes. Other folks may have more info about any "gotchas" of doing this.
I definitely would install SAS 9.2 Phase 2 along with EG 4.2. I was running SAS 9.2 Phase 1 with EG 4.2 for a while and had performance issues. I don't know if that problem is universal, but I'm much happier with SAS 9.2 Phase 2 running.