But, can't the C860 act as a USB card reader? In that case, you could have the C860 show its SD/CF card as the USB storage on one side, have the files you want to transfer on the other side, and transfer them. That way, your files will be on the C860 and you won't have to carry the CF USB dongle+USB drive around with you.
However, I don't actually have the C860 in my hand yet and the last PDA I used was 5 years ago, so maybe I'm just pulling stuff out of thin air.
Regards,
zakaluka.