The microSDHC cards came with a regular SD adaptor and a thumbstick adaptor, both of which can be discarded. The microSDs plug into two slots on the adaptor, and come with a diagram showing which way they must be inserted.
One thing to note is that the adaptor is only the size of a memory stick, you are inserting cards inside it, and the plastic it's made of is very thin and somewhat fragile. I wouldn't recommend using the adaptor if you don't have a USB cable to transfer files to and from your PC. It's a little bit too delicate to be constantly plugged and unplugged from the PSP to a PC memory card adaptor slot.

Once the cards are safely in, the adaptor is ready to be plugged into the PSP's memory stick slot.

The next thing to do is to format the memory card combination in the PSP. You cannot format them individually, and are warned not to format them using your PC. You MUST format using the PSP.
Once formatted, I ended up with 29.6GB of free space on my PSP, the only difference between this and a regular memory stick was that it said Magic Gate Unknown,
and the psp XMD speed will be realy slow which is what you'd expect.