Apparently somewhere in between the size that will pass through a
Progress docking port and that which will pass through a Shuttle
docking port.

I don't actually know whether it is size or mass which prevents use of
Progress (possibly both). The CMG itself is over 220 kg and the
following article also refers "to the weight and volume of equipment
needed to carry the CMG into orbit":

http://www.space.com/missionlaunches...te_020608.html

That's because a CMG package - the gyro and necessary
sub-assemblies - weighs some 1,100 pounds [500 kg] at launch and
must be mounted on a special carrier beam in the shuttle's cargo
bay. http://spaceflightnow.com/station/sts111/020608cmg/

On the shuttle they don't use the docking ports - they are shipped in
the cargo bay and installed by arm and/or EVA.
(search for "CMG" at
http://www.space.com/missionlaunches...journal-2.html ).

Could one be sent via some kind of expendable launcher and a cobbled
together manoeuvring system?

I can't imagine they'd send something "cobbled together" anywhere near
the station for a rendevous.

Well, in addition to the obvious questions about reliability,
rendezvous is hard enough that you'd probably not succeed with a
cobbled together system.

Perhaps ATV or HTV could do it; I don't know.