I think you have to have a My Documents in main memory, but I use a free bit of software called MobSync (you can get if from
http://www.pocketpcfreewares.com/en/index.php?soft=985) which allows you to set up a folder on your PC and have it automatically sync to anywhere on your PPC - even the SD card.
Works as a good alternative - a bit easier that manually copying stuff. Of course, it still only goes at ActiveSync speeds.