I see that this is an older thread, but I think the subject is still pertainent, so I'll pass this along. Basically, the answer is Yes, with the right adapter. I don't think it's so much an OS problem as it is up-to-date hardware. Anyway, here is my solution:
I like a PDA with both SD and CF slots. Previously, I had a Toshiba Genio e550g and now have an iPAQ hx2495b. I already have a supply of CF cards which can be used along with the always present SD card. Since I've added multimedia files, etc. I wanted more than the 2GB SD card. My answer was an SD/SDHC to CF adapter which puts an 8GB SDHC card in the CF slot. I have been using this combination for more than a year with good success. The problem is finding the CF adapter. They are available, but you have to search. I found one listed on Amazon, but was disappointed to find that it had been discontinued. I finally found one from a UK supplier that is unbranded, so I can't give a name and model number. I haven't searched lately, so I don't know the current market, but if you can find one, plug it in and away you go.
As you add expansion memory you will likely have problems the Microcrap OS and most of the included applications. As Bill once said, "640k is enough for anybody!" and it seems they kept that in mind the design of wince. The MS applications want to index every directory available each time they are started. Therefore, if you want to use pWord or pXel, you may wait 10 minutes before you get a chance to open a file. I use almost all third-party applications.
With that, I've got a fairly workable system.