(Wtf I just replied and its not showing up?)
You sure that IDE-CF adapter works? I got some off ebay that suck.
Not all converters support DMA: http://lkml.org/lkml/2006/5/24/46
Find one that works with DMA and performance will probably be better.
This is also why M0n0wall disables DMA by default, too many problems with CF cards when the kernel tries to use DMA.