First I would talk directly to Roland about this before taking the thing apart. They might tell you it would void the warranty to even try something like this. Unless the internal Zip has some proprietary interface to the 840, I would say that it's IDE. If so, and there's a way to detach the connector from the Zip, you could probably replace it with an IDE drive and get it to work. Roland would also have to tell you if the 840 operating system supports anything other than the 250MB (or probably 100MB in the case of an old 840) of storage that the zip provides. If the operating system doesn't support it, then it doesn't matter if the hardware is compatible, you will still only get 250MB (or 100MB) of space regardless of the size hard drive you install. Now if you have the 840EX, or can get the old 840 upgraded to an EX, (I think Roland was doing this at one point for a fee, you would send them the 840 and they would fit it with the hardware and software to make it similar to an EX) then check to see if you can attach a SCSI hard drive to the SCSI port on one of these upgraded units and use that for recording space. That would be a better solution than trying to replace the Zip with an internal drive I think.
Again, I have no idea and am just trying to give suggestions on everything that I can think of that might be involved in trying something like this. Talk to Roland and see what they say. It would be interesting to try if they say go for it.
As for CD-Rs, I'm guessing you mean one for your computer, as I don't think the old 840s support any type of CD-R connection. There are tons of options for PC, and get a CD-RW if you can. Check the Hot Deals section on this site, and also
www.pricewatch.com and
www.pricescan.com for the latest prices. The Sony models are good, but can sometimes be expensive. I've had good experiences with those, and most of the HP models.