Confusing English: "Speaking of Which" or "By the Way"

When it came to a confusing English, I just looked up the Google search to find the answer. The confusing phrases are "speaking of which" (SOW) and "by the way" (BTW). Both seem to have no difference to me.

There is a little explanation about the difference from Englishforum.com:

'speaking of which' would relate to the current subject/person under discussion.

'by the way' might be uttered to introduce a topic which has no revelance to the current topic under discussion but something said during that discussion reminded the person of something else.

With little explanation, I try to make up a not very good story (smells discrimination - my apology):

"Our neighbour has three wives as same as the story in the TV series (HBO) "Big Love". One day I invited him to join a party at our place. This party was actually planned by my wife just to make sure that he really has three wives and might bring his wives with him. Speaking of which, he is in fact a Mormon.

By the way, I watch the series every week just for my curiousity on how Bill Henrickson (played by Bill Paxton) manages to deal with his wives. Unfortunately, my wife is not really keen on watching it with me, urging me to not convert to Mormon. Speaking of which, I am a Presbyterian."