Following the method in the OP achieved root for me, but would not persist through a reboot. Here is a revised procedure that seems to be working great!
Just like the original method, get ADB working (I'm using Linux, BTW, so I can't really help with Windows issues).
Make sure you have "Internet Connection" selected as your USB connection mode, and USB Debugging selected in Menu -> Applications -> Development (as previously discussed, USB debugging will remain greyed out until Internet Connection is selected).
Grab SU and Rageagainstthecage-arm5.bin, linked in the OP, and busybox, which I have attached below.
Place all three files in a convenient location for pushing with adb (your /[Path-To-SDK]/platform-tools directory would be a great idea)
From your terminal, type:
adb push su /data/local/temp
adb push rageagainsthecage-arm5.bin /data/local/temp/rage
adb push busybox /data/local/temp
Now enter adb shell:
adb shell
You will now see a "$" prompt.
Type:
./data/local/temp/rage
Now wait until you get kicked all the way back to your terminal prompt. If you see the "$", don't do anything, just keep waiting! When it's done you'll be all the way out of ADB, which you will now need to restart.
Get back to the adb shell:
adb shell
Now you need to remount your /system directory as read/write, so type:
mount -o remount,rw -t ext3 /dev/mmcblk0p12 /system
cd /system/bin
cat /data/local/temp/su > su
cat /data/local/temp/busybox > busybox
chmod 4755 su
chmod 4755 busybox
At this point, you may way to remove the files you put in /data/local/temp:
(optional)
rm /data/local/temp/su
rm /data/local/temp/busybox
rm /data/local/temp/rage
Then reboot:
reboot
When your phone reboots, go to the market and download Superuser.
This worked for me, hopefully it will work for you!