<p>MS CRM Dynamics 4.0 incorporates the MS WF engine.  The built in designer allows the creation of sequential workflows whos activities have native access to CRM entities.</p>

<p>Is it possible to:</p>

<ul>
<li>Create a state machine workflow
outside of CRM (i.e. in visual studio) and import it into CRM? </li>
<li>Have this workflow access the CRM
entities?</li>
</ul>

I don't know the answer to your specific question, but hopefully this information will point you in the right direction.
The "native" format for WF workflows is ".xoml" files.  These are basically identical to XAML files, and both are nothing more than generic persistence formats for a .NET object tree.  If you can access the saved data that is output by the Dynamics designer, it should be in the same format.  If it is, you should be able to open it from the Visual Studio designer.
The key here is that CRM undoubtedly defines its own set of custom activities that you'll need to be able to reference from within the alternate designer.  With any luck, these will be in assemblies with obvious names and/or in the GAC.