For the Real NZ stuff that has been patched, there are two steps. First, yes you can copy the FS2004 installation over the FSX. Then you run the patch. Patches are available for Rotorua, Tauranga and Wellington, but the Wellington patch is to be updated over the next few days for SP1/SP2, so I would wait.
Updating can be tricky unless you work really hard to ensure that the copied FS2004 folder and the patch installation folder are exactly the same!
There is a chart on my site which shows compatibility:

Green means full compatibility, orange means it works with display issues, and blue means an update is in development.
So Auckland City 'works' in FSX with some display problems, and you need to download the small patch which excludes the default city buildings.
Wanaka is worthwhile installing for the aerial photo scenery, but there will be some issues with the airport itself:)