"That being said,.." how should I understand this phrase?
"That being said..." what does this mean?
You should translate the sentence literally. With that being said, I think I have answered your question.
It means "taking into consideration what has just been said..."
By the way, can I use "This having being said" instead?
Yes, you can. It's simply a matter of adjusting the tense to fit the rest of your sentence.
"That being said" implies that you are about to contradict or modify what has just been said -- that's how you should read that particular idiom.
Uriel is right--it introduces an upcoming contradiction. For example:
"I've read a lot of great things about Paris. I'm sure it would be a lot of fun to visit. That being said, I'd rather spend my vacation in Rome."
"that being said" is meaningless, superfluous. Take it out of the example above and nothing is lost.
Such expressions go by the "nice and easy" name of "discourse markers". It signals a contradiction.
<<<< By the way, can I use "This having being said" instead? >>>>
<< Yes, you can. It's simply a matter of adjusting the tense to fit the rest of your sentence. >>
No, it must be "This having been said", not "being". My guess is that this slipped by Uriel's eyes, since it's easy to miss such details when reading quickly. I would also prefer "that" to "this", because "that" refers to more remote things, including things in the past. Use of "this" in reference to the past might be appropriate sometimes, particularly if you need to contrast between "this" and "that", but I would prefer "that" by default.