ACTUALLY... I've done it. Three times!
Here's how you do it
(by the way, can someone put this in the manual?)
(note, if instructions aren't your cup of tea, there's an example involving Pokemon Red under the instrucions. Why Pokemon Red? it's the game I used to do this, so it's easier for me

. I still suggest you read these instructions anyway)
(To bring a save file from an Emulator to Rockbox)
1- plug in ipod/h10/gigabeat/etc...
2- Get the save file (in the rockboy subfolder in the .rockbox folder) NOTE- the thing you are looking for has the .sav extension.
3- drag to desktop/folder/etc(you don't have to do this, but I do it anyway incase somthing messes up, which shouln't, but never hurts to be safe. However, in Pokemon Gold/Silver/Crystal, you'll have to reset the clock after doing this.)
4- If you have a Gameboy color emulator (or advance, which I use. it doesn't matter), go to it's folder, and copy the .sav file of the game's file you want. (again, back this up, but not in the same place as the Rockbox .sav, or else the next step won't work...)
5- Rename the .sav file of the game save you want into Rockbox to the .sav file of the Rockbox save
6- drag the newly renamed .sav file to the Rockboy folder, and overwrite the new save.
7- Enjoy! by the way, you can also do this in reverse (bring a save file from rockbox to a PC to use on an emulator). Why, you ask? you can gameshark it or whatever, and bring it back to Rockbox!
EXAMPLE--- you have a ROM for pokemon Red on your computer, and you are halfway through the game, and you want the game on Rockbox, but not completly re-do it. However, if you want it on Rockbox, find the .sav file in your emulator's folder (usually the name of the ROM, with a .sav at the end of it. For this example, it'd be called Pokemon Red.sav). Copy it and paste it into another folder ('cause it never hurts to back up saves in case somthing goes horribly wrong...). Then, plug in your MP3, and go to the .rockbox folder, and into the Rockboy subfolder. Find the save game you want to change (in this example, it'd probably be called POKEMONRED.sav. Rockbox for some reason names the saves different from the ROM Name.) now copy it and paste it on the desktop, or somthing. now, right click and click the rename button, but DON'T CHANGE THE NAME!!! instead, copy the name (Keys control and C at the same time), and click out of it. now go to the backup emulator sav (Pokemon Red.sav), and rename it to the rockbox save name (by right clicking the save file, and pressing Control and V)
by now, the back up Emulator sav (Pokemon Red.sav) has been renamed to the same name as the rockbox sav. now drag the newly renamed .sav file to the rockboy folder in .rockbox, and overwrite the save in there. Now disconnect your MP3 (safely. don't go yankin' out the cord and screwing this up!), and run the Game in Rockbox. Lo and Behold! the save game you wanted is there!
Warning- If you have a quicksave made in Rockbox (IE, flipping the Hold switch, and selecting the Save Game command in the Rockboy menu), DON'T USE IT AFTER DOING THIS! 'cause if you do, even if you close Rockboy and start it up again, it'll load that quicksave, causing you to do the above procedure again! get whatever you want done in the game before doing this procedure.
Final Notes- There's no risk to this trick, so don't be worried about doing it!
(sorry about the long post, but this is a cool trick)
EDIT-- PM me if you have any questions