Messing with the memory stick is fine if you're just going to do it a couple of times, but after a while it becomes tedious.
At that point I decided I would try to make psplink work with my computer. It is another utility programmed by the superclever people at pspdev, and enables you to control the psp and even use your computer's hard drive as readable/writable by the console, so you don't need to copy things to the GAME directory anymore.
The building process was quick and easy, although it could have been faster, if I hadn't mistakenly gone into the psplink directory from pspsdk's SVN repository (which is an older version), instead of going directly to the psplinkusb directory, which is the one that lets you do everything via the USB cable. Also, this version's manual is a tad clearer and more explicit, so unless you have any odd interest in using the older version, go for the newest one, at svn://svn.ps2dev.org/psp/trunk/psplinkusb.
Yes! no more messing with the memory stick! You can even reset the console or get an screenshot, like the one from the picture :-)