You're not doing it right...
Seriously, though, this has worked for most. It certainly worked for me. I wonder if there's something quirky about the 003 hardware that's causing the issue?
There are folks on the XDA board with 004 hardware that have the same problem.
Frankly, I didn't expect to have to do anything to get GPS working in a RC ROM. When I flashed CM7, I wiped data and both caches and did a factory reset, but didn't run format_all.zip. That is the only additional step some are suggesting on XDA for those who didn't have success with the Sense ROM and GPS Status fixes. I'll come back to CM7 in a later iteration. Those guys are doing some nice work.
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