I had purchased one of the Radio Shack auto RCA to Co-ax thingies but it produced an unusable result. It's clearly not compatible - the picture was really snowy and the sound was more snow than the sound efficts (not that the 7800 has great sound effects anyway).
I picked up, from the AA store, an RCA to Coaxial connector ($3) and used a spare RCA cable I had lying around (from an Atari 800 XL) and voila! I really recommend this connector. It works with my Intellivision and VCS as well and the picture quality is definitely an improvement over the TV/Game switchbox.
I've got some RCA Y cables that I used so that I can have both connected at the same time and I do lose some quality. Suggestions? Other than buying a few more connectors (which I might do anyway I like it so much).
I actually seriously played my 7800 for the first time last night. Exciting stuff!