I think the consensus reached on other threads is that most of the modern Zaurus models are physically wired to support SDIO, but it would be impossible to write a driver without signing an NDA and paying a large amount of money to join the SD association, or else reverse engineering a binary driver for some other OS. Neither of these are an ideal option.
Another way to save your CF slot is to upgrade to the SL-6000L. It has WiFi built-in. (in fact, it shows up as an internal USB device)