I have been using PocketPlus. You can try it here:
http://www.softspb.com/products/pocketplus/index.html
It lets you configure the X to either close or suspend the application. Tap and Hold on the X to get a list of running applications. It also lets you put icons on your TODAY screen for all your favorite apps. You can have alarms that repeat the alarm sound for a configurable amount of time instead of the default once. You also get full screen Internet Explorer plus multiple browser windows.
The only problem is that the utility also includes battery meter, backlight control and memory meter, but they don't work with the Axim. I emailed the author and he says he is working on an AXIM friendly version :) . That was good enough for me. I bought it just for the X functionality and the rest is gravy. Best 10 bucks (15 bucks up here in Canada) I have spent in a while.