I use the 4GB Sandisk(G.B.P£14) Micro M2 with Pro Duo adaptor in my PSP with no problems at all.
I have supplied at least 5 to friends and family as well, and no one has come back to me with any problems. The only problems I have had is when using an 8GB(G.B.P£32)version of the same card.
With the 8GB, I am not able to use my computers card reader, and have to transfer iso's by using the PSP connected via USB.