I am using the SBS2008 self signed security certificate, and copied it to my PocketPC phone, but I cannot sync. I have set this up in SBS 2003, etc and know how to usually, and it works, however I am being stuck here. Can you set a PocketPC to sync up to a SBS2008 server without purchasing a separate certificate?

This should be working without purchasing third party certificates.
Try accessing https:///Microsoft-Server-ActiveSync from the Pocketpc and see if issues a Security Alert. [Normally these alerts will be “The name on the certificate is not valid or does not match the name of the site” “The Security Cert was issued by accompany you have not chosen to trust” ..etc ]If it issues an alert you need to correct it.
Please refer below link for some Exchange ActiveSync Errors and Solutions
http://www.pocketpcfaq.com/faqs/activesync/exchange_errors.php