Personally, I think it is risky working "off the card" and am pretty sure I also remember reading that here (or back on the Galbraith forums) before.
To do what you want, you *could* open the folder on the card containing your images in a PM Contact Sheet. (For me that would mean, on the computer: double-clicking the card to open it, double-clicking the DCIM folder to open it, then dragging the "100EOS1D" folder onto the Photo Mechanic icon to open it in a contact sheet.) I could then "tag" or "color class" or "star" the images I wanted, highlight them and use the "Copy Photos" command to move them over to my computer.
However, this doesn't seem like an ideal solution. Personally I say spend the 80 bucks on a Firewire 800 card reader and download the entire card straight away. I can download a 2 GB card in about a minute and then get right to editing without having to worry about copying them over AFTER I make my selections. Plus my computer is setup so that when I insert a card, the Ingest dialog pops-up and all I have to do is hit the "return" key on my keyboard and it starts downloading with no further interaction.
Also, on the slim chance that something goes wrong you still have all your images backed up on the card and can just re-download them. If something goes wrong when you're working off the card....