Lotech is right. Rockbox doesn't become part of the player, it's designed to exist with the original firmware. It needs to stay on whichever card is in Slot 1 (it only takes up 10MB or so--not much space at all).
When the player boots, it always looks for that .rockbox folder, and it only looks on the card in Slot 1. So if you plan on switching cards, make sure the .rockbox folder and contents are on any card you will have in Slot 1.
It may seem counter-intuitive, but it is actually very smart. You never have to flash the player's memory again, which is safer for the player. To update Rockbox, you just have to unzip the new version onto the card.
For power users, it's also handy to be able to find all the configuration files, themes, etc. in the .rockbox folder, in case you want to edit them.