Actually it's quite simple to do, but very ugly:
1. Get a tray. Quite simple to buy, get the battery sizes/numbers you need.
2. Get the batteries. You CAN hook up 3 1.2 NIMH batteries this way, but of course your tray has to support it.
3. Hook some batteries into the tray, and hook some wires TO THE BATTERY TRAY IN THE GP2X, because there is a regulator it goes through there. This is why 3 batteries is possible, if you try it with the DC port, you need a regulator somewhere before the juice goes through, and that's complicated.
http://www.nimhbattery.com/mh-2d110.htm
http://www.nimhbattery.com/battery-holders.htm
These are the supplies you can use, minus a charger for the D cells. 2 cells at 2700 last about 5 hours for me... I'll leave it to you how much battery life you can get using 3 11000+ cells =)
Note that 3 batteries could fry your GP2X because of high voltage, and I haven't tested it if it works myself, but other people have put 3 batteries before...
Even then, just 2 batteries of that power would extend battery life a hell of a lot.
OO! One more thing! You have to hook the batteries to the RIGHT connector. There is a dummy side, and you should hook it up to the right side (I think it's right, not sure). Make sure the polarity is correct too...
If anyone who knows what they are talking about wants to comment on this, go ahead, I could be wrong about something....