The speed of gravity is talked about at great length in
http://math.ucr.edu/home/baez/physics/Relativity/GR/grav_speed.html
If you look for this link in the physics forums, you'll find where this issue has been discussed in the past.
The correct answer to "what happens if the sun dissappears" according to General relativity is "the sun can't disappear". This sitaution is quite analogous to the question of "what happens according to Maxwell's equations if a charge disappears". The conservation of charge is _built into_ Maxwell's equations, and they do not have a sensible solution where charge disappears. Similarly, the conservation of energy and momentum is _built into_ the theory of General Relativity (in the form of certain differential conservation laws - while these laws don't generalize to the usual intergal form that's another topic.). These differential conservation laws would be violated if the sun suddenly disappeared, so General Relativity does not make any prediction as to what would happen in that event. Instead, it says that that event cannot happen.
If you want to measure the speed of gravity, you need to set up a thought experiment that can actually be performed. The answer in theory is fairly simple and similar to the way we measure the speed of light. You acclerate a mass, to measure a gravitational wave (just as accelerating a charge generates an electromagnetic wave) - then you measure the propagation speed of the wave, i.e. how long it takes to arrive. Unfortunately, gravitational radiation is so weak that we currently cannot detect natural events expected to cause it, nor can we generate enough of it to be detectable. We have indirect observations of binary inspiralling stars that convinces us that energy is being carried away by graviational radiation but we cannot measure the radiation directly currently. This may change with Ligo and Lisa, two projects dedicated to detecting natural sources of gravitational radiation (like binary inspirals that generate black holes).
You do _not_ measure the speed of light by making a charge disappear, because this cannot be done. Mathematically, attempting to do this gives nonsense results. Similarly, you do _not_ measure the speed of gravity by making mass disappear, because this cannot be done. You use the mass to generate gravitational waves (or the charge to generate electromagnetic waves) and you measure the speeds of the wave.