Without knowing what rom you use, I'll try to give you a general rundown. As OZ has a decent package manager that installs / links to CF or SD.
1. your card needs to be formatted in ext2 to allow symlinking
2. if you use SD make sure it is a known supported brand. ( a lot of cards that appear to work choke up when they suspend while in use, which is what will happen when you have apps installed to the card.
3. If you can, install ipkg-link (when you install use the terminal run it) Otherwise you'll need to symlink the app by hand(sorry I don't know any more about that)
I haven't tried ipkg-link on anything but OZ so I don't know if it will run on anything else