I wound up going with a TASCAM DR-40 and Hosa EBU-020 Cable.
Well bad news...
Unless I'm mistaken - the DR-40 does NOT have a digital input of any kind. It is a digital recorder - but it does not accept a digital signal - only analog.
(Some of the replies here are a bit misleading...)
You really have no need to mess around with AES/EBU format - that's generally only found on more expensive pro gear.
You just need something with SPDIF - in COAX (RCA) or TOSLink (Fiber Optic) format...
With the recorder you bought - you will be limited to analog transfers - which is exactly what we seek to avoid when making these transfers. You just want to move the digits from one place to another. We want to avoid converting the digits to analog and sending them through another analog input where they are re-digitized.
D > D (good)
D > A > A > D (bad)
The cable you picked is useless - since you have no AES input.
Portable recorders with digital inputs include: (and there arent very many!)
TASCAM DR-100 (and its various sucessors mkii/mkiii)
The old Creative Nomad Jukebox 3 (TosLink)
The above mentioned ZOOM interface (TosLInk and COAX)
Im sure there's a few more...others should chime in...