For a while I pondered the same idea but eventually I bought a Seagate 8GB Photodrive. The reason I gave up on the HDD approach is that in order to use the HDD device as a mass storage device you will need to get a CF-to-USB adapter card, which will cost you as much as the Seagate Photodrive; and the compatibility/reliability would still be an issue at times.
If you are really keen on getting a HDD based PSD (portable storage device) you may want to consider a OTG (USB On The Go) device such as the Fotochute from Smartdisk. With the OTG device and a card reader, you can use transfer the files (divx movies or MP3) onto the SD or CF card via the card reader. Then remove the card and use it in your Axim. Office Depot was selling the Fotochute with a 20GB HD for $50 to $70 after rebate (depends on the event) though unfortunately this item has been continued at OD since.
