It's actually pretty easy if you have the time (and knowledge). Basically I followed the tutorials at rockbox.org on how to compile rockbox and the kernel. The kernel is really the hardest part as you have to make sure you've done everything right as you'll be flashing this onto the Fuze. Your basically patching the OFW with rockbox kernel, so it will dual boot into the OFW or Rockbox. Once everything is compiled you copy the firmware and .rockbox folder to the root of the Sansa Fuze, and after you remove the usb cable it will automatically start flashing the new firmware onto the Fuze.
I would stay clear of doing this though if you have no experience in compiling code. Also Rockbox is still experimental software so not everything works, and you could end up bricking your MP3 player if you don't know what your doing.