I just did this with my new Axim X30 using free programs and it works beautifully.
First install
Total Commander. This will let you access a network drive where you store your MP3s.
Next, install
Pocket Music. One wierd thing I found was that it asks you for a reg code, which it says is available for free, but when you click on the link it just takes you to a page about the software. What I did was search on the page in Google, clicked on cached version, entered in the info it wanted, and it gave me my reg code.
Now that you have the programs installed, you can either click on the MP3 name or playlist name in TotalCommander and it will play in Pocket Music with no problem. Works perfect for me with no skipping or hiccups!