This article is from the Amiga CD32 FAQ, by Stuart Tomlinson with numerous contributions by others.
A: Make your own connector using the pinouts given in the manual. There's no +12V supply on the 37 pin IDE plug, but you can wire in your own power supply or take the +12V supply from the floppy port instead.
A: Make a 2.5" to 3.5" conversion cable, and wire in your own power supply. Conversion cables can be bought as part of A1200 3.5" kits.
A: Or you can buy a box (don't know the name) from Hi-Q that sits in place of the SX-1's lid. It lets you plug in 3.5" IDE drives and it has a better power supply. The cost is 129.95UKP without any drive.