There is a simple way to get an N connector attached to you 802.11 device without the rigmarole of buying expensive pigtail that converts reverse SMA, MCX or whatever to an N connector via a short run of cable. The problem with such pigtails is that they incur an unnecessary loss with each connection of up to 1dB per connector and perhaps 1dB on even a short 1 foot run of thin coax (like RG-174 or RG-178 which aren't so great at 2.4GHz.) With 30cm of Quickform 86 and one N connector this pigtail will probably lose no more than 1.3dB. You could use Quickform 141 which is thicker and more expensive, but it has 1/3 to 1/2 the loss of Quickform 86.
You can remove the built in connector on the card and directly hook an N-connector to it. Farnell (a worldwide supplier of components) sells an extremely low loss semi rigid cable that is perfect for making your own pigtails.
Quickform 86:
I modified a D-Link DWL-520 card. This is a pure PCI Prism2.5 based 802.11b card. I wanted to have the N connector mounted on the computer case for minimum fuss. The end results was thus:

Procedure
Connector removal isn't for the faint of heart. You can really damage your card doing this, such as inadvertantly ripping out the metal plating in the pin holes or lifting the tracks. The reverse gender SMA connector was removed with a specialised desoldering tool (a hot iron with a hollow tip through which air was sucked through). Be warned, the rear two ground pins had a very good contact with the ground plane on the DWL-520 and so was sinking most of the heat very quickly. This stopped the solder from readily melting and flowing so required a bit of persistence to remove. The front two ground pins and centre signal pin desoldered very easily.
Unlike most other coax which has a braided shield with a plastic sheath, Quickform has a solid silver coated shield with no outer insulation at all. The solid shield ensures very little signal loss and is also readily solderable.
First, cut up the length of cable you require to reach from the card to where you wish to mount the N-connector. You must use a knife in a sawing action so that you get a clean cross section cut without compromising the roundness of the cable. Wire cutters will squash the cable which is totally unsatisfactory and will impede the signal.
On one end of the cable remove the outer shield and inner plastic to leave 3-4mm of the centre core exposed. Cut a small piece (1mm) of the plastic core off to use as a spacer to prevent the shield contacting the signal pad and to provide some mechanical support. The yellow circled area highlights the spacer.
Cut two 30mm lengths of solid copper CAT5 or phone wire. Wrap the centre section of each wire twice around the shield about 15mm from the end of the connector and solder the turns to the shield. Each end of the wires should be spaced to fit the diagonally opposing ground pin hole on the circuit board footprint. You should end up with a five legged end of cable which you can insert into the connector footprint. The four wires provide an excellent ground connectivity and anchor the cable to the card to minimise flex and stress that would otherwise cause the cable to break away from the card, perhaps taking the centre pin hole plating with it.
Be sure to place the spacer on the centre of the coax wire before you position and insert the five legged arrangement. After soldering everything into place you will end up with something very much like the picture below.

Looking at the whole card the arrangement will look like this:

Next, trim the shield off the other end and solder the centre wire to the N connector like this:

You will need to make an extended ground shield to cover the exposed centre pin and plastic region. Copper tape was going to be used to do this but there was none available at the time. When it's found there will be an update with an improved shielding. Instead brass shim was cut up to fashion a cowling which was placed over this section of the N connector.

This cowling
was soldered to the shield of the cable and soldered to metal tabs connected to the
case which completed the grounding circuit. It's very important
the the coax is properly grounded at each (on the card and case) end otherwise the
back of the N connector will act like an antenna rather than a low loss conduit.
If you have a non-metallic casing, like an Apple Airport, be sure that the back of
the N connector is shielded in a similar way. Alternatively you might be able to
get threaded N connectors which will properly couple with this sort of thin coax.
Update: It was suggested to me by an amateur radio operator (ham if you will) to
use a plumbing endcap instead of the hack job I did above. Here are some pictures of how it will
go together. I'll add some more images once it's soldered together and installed. The brass endcap I have has an
inner diameter of 19.1mm, outer diamter of 23.2mm and a height of 18.4mm. I
would have preferred a slightly smaller size but the plumbing shop didn't have
any smaller. I am going to have to do some filing to make the screws and
nuts fit properly.
Finally once all is in place you will have an N connector off the back of the case which is a lot neater than a pigtail arrangement dangling off the back.

Things to Bear in Mind
Be sure that you don't put 90 degree kinks in the cable or have a turn radius of less than 7mm. This will render the cable useless. It must retain it's circular roundness to work properly. From the photo at the top you can see the cable curves gently from the card to the N connector.
I understand that other 802.11 devices like PCMCIA cards and USB devices may have the 5 pin footprint for an SMA/SMC/SMB/MXC connector in the printed circuit board so you could perform this operation just as easily on them. Bear in mind this may also require the addition and removal of capacitors and resistors to disconnect the internal antenna and hook the signal up to the 5 pin footprint. I can't offer any advice at the moment on cards other than the DWL-520.
Be careful that the cable doesn't contact any other electronics in the vicinity as this will probably damage things beyond repair.
Disclaimer
Needless to say, performing this modification to any of your 802.11 devices and PC voids any warranties on the equipment you're intending to modify. No responsibility will be taken for damage or injury (or death for that matter) for persons and equipment this procedure is applied to. Do so entirely at your own risk.
(C) 19 March 2002
Updated: 2 Nov 2003