How do I sideload, i.e. install non-market apps, on at&t phones?
No need to load a custom ROM. You have two paths possible -- You can simply use special software on your PC to sideload apps or you can do some edits to the configuration databases on the phone to bypass the block permanently. 

This page covers both methods -- http://samsungcaptivate.wikia.com/wiki/How_to_Sideload