I didn't have any issues with using SQL 2008 express for the back end of my CRD. Tech Support sent me a pdf that goes over the correct way to install it and it all worked fine the first time through. Basically if you are on the "file" system it is using MS Access as the file system. As you know Access is not the most reliable and effecient database. By moving to SQL it eliminates the task of having to compact the system files every so often to keep corruption at a minimum.
I would submit a support call and let them know what you are doing so they can send you the documents. Follow them step by step and you should be good to go.
We have put the CRD database on a full edition of SQL Server 2008, so we can back it up using SQL-Agent.
We use this isnstance for a number of other tasks, but I'm not sure if you coul djustify the license just for CRD? If using SQL 2008 Express, how are you going to run database level backups?