Yep, that's what I did, although I unpacked it into Home and was getting the 'command not found'. I guess I was 'looking' in / from the wrong directory. Now unpacking it to desktop and following your instructions nothing happens in the terminal, it just returns the command line.
By double clicking the RockboxUtility file the user interface opens, it was here I had the original permission error message.
I've just ejected the media device and reconnected it and now it says "Mountpoint does not exist".
I'm now thinking it is an issue with Rockbox, or more likely something I'm doing wrong. I may start afresh point by point.
I'll also have a look at your edit