If you are playing illegal ISO's, yea, the load times are less than running off the disk. However, the write/read times on the 4 gig hd are horrendous(sp?). It takes 29 minutes to fill up the harddrive.
NaoNeo's device is a lot better. $179, comes with a 4 gig stick, it reads CF, MS, and a few other memory types, and also lets you use AA batteries for the PSP.