The 32 shaders on the 8600 series aren't enough to run Physx. It would probably actually drop your frame rates to a crawl. You'd be much better off having your 275 handle rendering and Physx at the same time.
If you really want a dedicated Physx card, I'd say the 9600 GT would be the slowest card you'd want to use...ideally though, anything in the 8800/9800 series or a GTS 250 would provide the best price/performance ratio.
Yeah, I had a 8800 Ultra running it, but I sold it off to a friend. What is the cheapest alternative for an extra Physx card without it being a crappy alternative, any ideas and/or links?