Hi Greg,
  E-Smith is much more than a firewall, and is not prepared to run in a Compact Flash. CF hava a write limit and if you store logs and /var  and swap in it you would ruin it in a couple of moths, besides being much slower.
  There are some firewall products that run in CF, actually we have developed one 

 Besides, just for HD firewalling smoothwall is a better product than SME.
  Hope it helps. Regards.