I got this close-up lens this morning. It is a lens that looks like a UV filter and you attach it to your "normal" lens.
I already have the 500D for the Canon Pro90IS but it is a 58mm. I could use it on the Sigma 105mm macro but the results were not that great.
With the new one in 77mm I can attach it to the Canon 300mm f4IS or to the Nikon 70-200f2.8vr as they both are in 77mm.

I just tried it on the Canon 300mm with the 30D and it works great. At http://www.photoboard.eu/500d.jpg you can see a 100% crop of a photo of a tiny flower (the size of a nail).

As with the Pro90IS, the camera will only focus at some distance (about 30cm). If it is above or below that distance, it will not focus, even manually. From that point of view, a real macro lens is easier.
What's nice with the close-up lens is its weight and size. It is easy to carry it all the time giving you the opportunity to take macro photos anywhere :)

I bought an inexpensive close up lens to try, it was an after thought when I was ordering some other stuff so I didn't have to pay postage - nothing like the quality of yours though. Like you say so easy to carry round and fit. Although as I don't have a great quality lens to fit it to, I think I'm going to buy a good quality macro lens anyway :)

What is the brand of your close-up lens?
Usually they work well with prime lenses only. I tried with the Nikon 70-200 zoom lens and it worked well too but only at full zoom.

Nikon has a very good quality macro lens, the 105 f2.8 vr. It is the only macro lens that is stabilised. Unfortunately it is expensive at around £519.
If you get a Sigma, only the 150 f2.8 macro (£424) would autofocus on the D40. The other macro lenses will work but in manual focus.

It's just an el cheapo from 7 day shop and cost £3.71 just bought it to see what it would be like I wasn't expected much, but seemed a nice cheap gadget!

If the purpose of the exercise is to allow you to get closer than you could before than it seems to work - it's only a +4. Not brill quality obviously!

I left the camera on AF and took the photos as close as it would focus, apologies if this is less than scientific ;)

Examples:

with +4
http://i173.photobucket.com/albums/w52/x19er/general/4.jpg

without
http://i173.photobucket.com/albums/w52/x19er/general/Without.jpg

Thank you for the test/photos.
For that price, I would have bought it too! :D
The 500D close up in 77mm is about £90, a lot cheaper with a smaller diameter.

Did you use it on the 55-200 or the 18-55?

On the 18-55 not tried it on the 55-200 yet - something else to experiment with :)

It should work much better with the 55-200. I am curious to see the result :)