Yup, I had a friend that had a CDX and a 32x, he always had them hooked up and working without any problems. I think that he might have used some books or something to keep the 32x stablized. I don't think that the 32x was officially supposed to work with the cdx, but it does anyway.
Actually this is how it works. I own both the Sega CDX and the 32x. To correctly hook them up as in the 32x Manual you need to order the "Spacer" for the Sega CDX. Part Number 253-6924, and you order by calling 1-800-USA-SEGA. Im not sure if they are still in stock. I actually need to order one myself. I created a 32x Manual Scan in PDF format and I am currently trying to give it to IceMan2k to post on this site.
The only reason the CDx/32x combo was not official supported by Sega was that it was seen as unsafe by...errr.. whoever does the electronics stuff as it was too many processors in a close radius or something.
Yes I know it doesn't make much sense, it was just not officially supported due to government guidelines (FCC? I donno.)