Ah. Bit of a "doh". Copying individual assemblies into the same directory as my own DLL isn't the way to go, just a knee jerk reaction to seeing an error message about the referenced assembles not being found even after looking in the same directory.
Assuming the use of the 32 bit server, having selected your own db and having already set trustworthy on, this registers everything needed in order to add an EF4 project;
CREATE ASSEMBLY [System.Data.Entity]
from 'C:\Windows\Microsoft.NET\Framework\v4.0.30319\System.Data.Entity.dll'
with permission_set = UNSAFE;