Do these modules need to be embodied into the root file system somehow?
I like the way you phrase that! Yes, my understanding (and it took me hours to work this out) is that you simply untar and uncompress the modules -- you will get a directory called "2.6.33.7" which contains all the modules. You need copy the directory named "2.6.33.7" into /lib/modules/ on your Guruplug. You will see that you already have in there a directory for the 2.6.32 kernel modules. You don't need to remove the old modules directory. My understanding is that if you ever want to or need to boot the 2.6.32 kernel again you will always have the necessary modules just in case. The kernel only sees those modules that it needs.
So, you're not really replacing the root file system (it's still basically Debian Lenny), you're just updating the kernel and modules... and the firmware. The key bit of the instructions for the firmware from
http://www.plugcomputer.org/plugwiki/index.php/Setting_GuruPlug_to_be_a_stable_WiFi_Client is
You should now have in your working directory two files named: mcypt.ko and sd8xxx.ko.
Copy those files along with the ones in ./SD_WLAN/FwImage/ to your /root/ directory on the guruplug.
Ok, so you haven't compiled the firmware but the compressed archive contains mcypt.ko and sd8xxx.ko and a "firmware" folder with the two other files which, if you followed the compilation instructions, presumably would be in ./SD_WLAN/FwImage/
So, copy mcypt.ko and sd8xxx.ko and the folder "firmware" into /root/ on the plug. (using USB or ssh for example) and follow the instructions for driver installation (and test that you can connect to your wireless network), and then once that is working change the initialisation scripts as instructed.
I spent another day messing around with wpa_supplicant and the initialisation scripts before it all works automatically but it is worth the frustration. Post if you get stuck, maybe you will get stuck at the same point as me again.