Definitely get more CF cards! You should have enough CF cards to store one whole day's worth of pics with room to spare (in my case, I shoot 100 or fewer pics per day at WDW, so a 512mb card is enough).
As to buying some other type of storage, that's not a bad idea if you have the money, but you can get away without it. I have a laptop, which I take with me to WDW to download my pics every day, but if you don't have a laptop you can use Disney's downloading service, available at the camera shops in the 4 theme parks. They will download pics from your memory card to CD for $12.99 per CD, limit 120 pics per CD. There are also self-service machines at the MK and MGM camera shops, same price.
If you have a car, you can drive off-site to any Walgreens in the area and download your pics to CD for $2.99 per CD, for as many pics as the CD will hold.
If you do want to buy a portable storage device, a "thumb drive" is not the correct device. You need something like a portable hard drive, or a portable CD burner. One of the more popular devices is the Epson P-2000, which is a 40gb hard drive with card reader and LCD screen built in. It can also hook to a TV so you can view your pics. It costs about $500 and is compact and easy to carry.
http://www.epson.com/cgi-bin/Store/consumer/consDetail.jsp?BV_UseBVCookie=yes&oid=49164278
There are also portable CD burners on the market that have CF card readers built in and can burn your pics to CD for you without a computer. PC Magazine has a good review online:
http://reviews-zdnet.com.com/4520-6501_16-5145238-4.html
Whatever storage option you go with, a couple of additional CF cards are a must. Just don't be tempted to get one gigantic card and call it quits - two cards of 1gb are a better investment than 1 card of 2gb, because then you will have a backup.