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.