1.) Install the latest rockbox bootloader on your iaudio. You can do it manually, but the easiest way is to use the utility
here. You can skip this step if you already have the latest rockbox bootloader installed.
2.) Get a CF to 1.8" HDD IDE Adapter like this one
here (however others have reported inconsistent build qualities of those adapters, so YMMV). A more expensive, but much better designed adapter can be found
here.
3.) Get a CF drive. I have a A-DATA 32GB Speedy Compact Flash, but any should work.
4.) Instructions on how to remove HDD
here
5.) The adapter and CF drive install upside down. You may need to bend the master/slave jumper 90 degrees to allow a better fit. You also should cover the pins that stick out of the PCB with something non-conductive (e.g., cardboard, plastic) or the metal backing will short out the board. You might also want to apply some tape to secure the adapter CF drive in place. [This only applies to the adapter mentioned first in step 2, the second adapter mentioned installs like the original HDD]
6.) Run the rockbox utility again to install on the new CF drive. Make sure you delete the x5_fm.bin from the FIRMWARE folder. The rockbox bootloader cannot be flashed from a CF drive, only from a HDD (reason for step 1).