I thought that might have been the case but I ran the installer again and made sure the bootloader was selected and it still did the same thing - booted straight into the Sansa software.
This is what I did this time round:
1/ I ran the utility and, with the bootloader box selected and using the stable release, installed Rockbox onto my SD card
2/ Created the redirect file in the root of the SD card.
What did I miss?
Do I need to use a daily build?
Do I still need to create the redirect?
Does it matter what version of Sansa firmware is on the player?
Thanks so much you guys for your help with this!