You can download the GPS coordinates directly to most Garmin GPS devices that have a USB port (nuvi series, etc.), and not have to worry about copying GPX files to your device.

You will need the Garmin Communicator plugin, available here. Garmin Communicator is a small, easy to use plugin that many other sites have adopted, including Google Maps.

Once you have downloaded, installed and tested the plugin with your Garmin GPS, simply click the "Add to Garmin" link.