Ok,
I've gotten my Nano recently, and I'm still learning the basics. I've noted quite a few queries (and seeming confusion) in regards the SD card attachment. Just FYI, I picked up a cheap 128GB PNY at the local Wal-Mart, popped it in, went to Advanced, clicked on the drop-down next to USB, then clicked "Format SD card." Waited for a minute or so. Then after the "SD card was successfully formatted" message, I rebooted and re-logged in. Now I show a fresh 120GB partition mounted on /sd. No muss, no fuss.
I've gone in and installed a couple of modules to the SD card just to experiment and everything is behaving nicely.
Just thought I would share a little positive feedback. Still getting to know the rest of the box yet.