Welcome to Creative COW, Håvard.
Sadly, you are out of luck trying to import and play back EX footage in Final Cut Express because the EX codec needed does not exist in that program. Only Final Cut Pro. As you have discovered, you need to transcode to a format/codec that FCE already has, which may or may not result in a quality loss during the process.
The workaround is to buy the Calibrated Software for Computers without FCP. This will allow you to view and play back EX native MP4 clips in Quicktime 7 and other programs that support Quicktime. it Doesn't specifically say that FC Express is supported but I'm sure they would let you know if you sent them a short email.
Other than the above suggestion you are limited to what you're already doing, unfortunately. Do you have a friend close by that has FCP 6.0.2 or better? If so then that would be the best choice. If you're planning to buy one of the EX cameras in the future then you need FCP.
http://www.calibratedsoftware.com/QXD.asp
- Don
Don Greening
Reeltime Videoworks
http://www.reeltimevideoworks.com