I have a mini-sd in an adapter and it works fine!
i sometimes have problems reading it with my card reader, but i think the card reader is a bit dodgy, no problems at all in the gp2x.
Edit:
I don't know why putting videos and mp3s would be 'safer' than 'roms and stuff' tho?
PS: i have a F100 but F200 should be no different. Anyway, i think a mini-sd is just a normal sd in a smaller bit of plastic...the adapter just makes it bigger!