The gadget you're talking about is called a "portable storage device" or PSD. It's popular with photographers. You can purchase a PSD with hard disc included, or as a shell that accepts a hard disc you already own.
There are lots of models, with different features. The cheapest just have a button to push to initiate the file transfer. Many have the ability to show a thumbnail of photos you copy on a small LCD screen. More expensive models have large LCD screens that let you watch video transferred from your PC.
You can narrow down the choices by deciding if you need to listen to the tracks on the PSD after you transfer. Very few PSDs can play WAV files you copy from Compactflash.
The heart of a PSD is a small hard disc. When you are copying from the Compactflash to the hard disc, be careful not to bump or jar the PSD. This can cause disc errors. Once turned off, the PSD is pretty durable.
Today, the price of Compactflash cards is very cheap. For the cost of one PSD and battery to run it, you can buy many, many CF cards. So you may be able to get by with a handful of CF cards, no PSD required.
Flintstone