Rockbox supports SDHC cards, but the sansa firmware does not.
First install Rockbox, without the SD card connected, as described by the manual.
Rockbox on the sansas does not yet have a USB mode, and relies on the Sansa USB mode - therefore to add music to your SDHC card you need an external reader.
Once you have rockbox installed and music on your card via these two separate processes, you can finally plug your card in.