You don't have to load maps into the GPSr for it to know where you are, it'll figure that out anyways.
The best way to figure out what caches are the closest to you would be to create a Pocket Query for each location and load them to the GPSr, either as GPX file or using POI loader.
Can you explain this in more detail? What is a pcoket Query. What is GPX or POI Loader?