Thank you for your helpful reply.
I have tried to follow the steps in LGMDP.exe, but when I get to the point after I select the recovery image (the clockwork mod folder), I get the expected error messages (which is normal), but the "Start" command (in step 8) is greyed out.
What could be the problem?
On a simpler level, shouldn't Rom Manager flash my recovery to CWM successfully, as it states? Why do I need LGMDP?