As Acid said a few CF cards do not work with compactflash.device.
Otherwise it works, you just need to create an appropriate mountfile.
For amiga file systems you need to define the size of the card in the mountfile (FAT95 does this automagically.)
Use Giggledisk on aminet to create the mountfile.
(It would also be possible to start the boot process from floppy or hdd, load compactflash.device and then load the system from the PCMCIA)
Edit: Two days ago, a new version of compactflash.device was uploaded to aminet. Now it is rommable to allow booting with a custom kickstart ROM.