Hi James,
I have a couple of ideas. A good idea would be to use either ghostlink with a null modem cable or parcp with a special type of parallel to parallel cable for file transfers to the STE hard disk. Needless to say the first option is SLOOOOOW ;). Another idea is to use aranym to mount the zip drive. You should be able to see it as an atari hard disk from in there. This is an option that I need to take a look at. These are your cheapest options. Another idea is to get an ethernet add on such as netusbee and add your atari to the network.