As an alternative to the UMEMD
suggests you check out this other UMD-slot, slip-in memory stick holder for your PSP. Previously, the UMEMD could only be used inside the PSP-1000 models (fat ones); however, this new gadget can be used with both the fat and slim models. The only drawback is that this one can only hold two memory sticks -- half the UMEMD's capacity of four.
It looks like you can't currently buy this thing alone either; it comes together as part of other PSP accessories. You can check them out here
if you're interested. There are also more pics over at PSPGadgetZ.