Modern MicroDrives use power while they spin and especially while files are being written to them or deleted from them. Most audio and video players allow to pre-read and cache large chunks of data which allows the drives to spin down and not consume extra power. So music and video playback from MicroDrives is practical.
OTOH, frequent access, whether reading or writing/deleting, will drain the battery much faster. Therefore files and applications requiring frequent access are best stored on SD card, as you suspected. The 6GB and 8GB MicroDrives from Hitachi and Seagate will be fine when used in such a combo. I'd stay away from the 2GB, 2.2GB, 5GB MicroDrives. Also, the 2GB and 4GB Hitachi MicroDrives use more power than the more recent 3GB and 6GB models. To get a more complete picture search the forum.
As for the price, the cheapest 8GB CF card (Transcend) costs over twice as much as the Seagate 8GB MicroDrive. The price difference between CF and SD cards has shrunken dramatically. Nowadays a SD card can often be had cheaper than a SD card. 120x to 150x rated SD cards go for < $100 to >= $150. You may also have seen
this post about SanDisk 4GB CF and 2GB SD cards for $129.99 and $69.99 at Amazon.com, after rebates. These are great prices.
Regarding transfer rates: if I may simplify, SD beats CF beats MD. The MD has really poor write rates in a card reader. It takes over twice as long to copy music from the PC to my 6GB Hitachi MD than it takes my Transcend 80x CF card. (And that Transcend card is rather slow.) Read performance is, however, surprisingly good, in fact very good for large files. Given that the best use of a MD in a PDA is to read large files (into a cache), performance in the Axim is not an issue.