I've never done that before but my first concern would be if only providing half of the power necessary via that single connector, is that one connector having to handle twice the electrical current? Not an expert on this but much more current will eventually cause the plastic connector to heat-up a LOT, possibly melt it, and then possibly the electrical pins in the connector could touch (and short-out). Ouch.
The better thing to do would be to scavenge another 4-pin plastic connector from a different PSU, even a retired one, and splice the correct voltage and ground wires into it. Then, plug it in. I've done this before when I needed another power connector but one wasn't available via the PSU's cabling. Just make certain that you get the wiring (voltages) correct. That is usually easy because they are color coded but a simple multimeter can verify that task. Measure the voltages from your existing 4-pin connector, make another connector, measure those voltages, and off you go. Disconnect all other connectors first and jumper the main 24-pin connector with a paperclip from its green wire to any ground as that will fire-up the PSU while not connected to the system. That should enable you to measure voltages.
I just re-reviewed my SuperMicro C2SEA board which has the same E8400CPU. It does have the 8-pin power connector and the PSU supplies the connector as one single unit with four yellow wires (positive voltage) and four black return wires (ground wires).
When you refer to Molex, I envision what most people say is the 'common Molex connector to HD units.' That connector has red and yellow plus two return ground wires. These mean different voltages as HD units require that fact.
Please review: http://en.wikipedia.org/wiki/Molex_connector Specifically the "Disk drive connector (Molex 8981 Series Power Connector)" portion.
Yellow is a positive 12 volts. Red is a positive 5 volts. That's why I love the color coding of PC wiring.
IF your current 4-pin connector uses two yellow wires and two black wires, then I am GUESSING that you could find two separate wiring feeds from your existing PSU. For example, two separate wiring feeds that contain HD connectors. You could snip-off the final HD connector and use its yellow and adjacent black ground wires to feed one half of your additionally needed 4-pin CPU power connector. Then, do the same with the other wiring feed. You would not likely be able to safely use the remaining HD connectors of each of those wiring feeds (I wouldn't try it). This is because that newly created 4-pin connector may be drawing a lot of current which would make connected HD units unreliable.
But, you really do need to borrow a multimeter to make absolutely certain that the yellow wire is supplying 12+ volts. In the worst case, you'll be undervolting the 'new' connector that you'll be creating which may not be destructive but may lead to an unstable system.
Lastly, it may just be cheaper to purchase a new PSU as they now go for under $60. It would have all the proper connectors and save you a lot of labor and soldering time...
I have to agree with Robert there. That is why, in my post, I suggested using different wiring feeds from your existing PSU to 'create' an 8-pin CPU power connector. The amp (current) draw may be quite high. Some CPU's can draw 130W at full load and that's a lot of current, especially when the 'fanagled power feeds' were meant to power HD drives (which only require like 10W each at most?). Watts = Amps * Volts so at 12V, that connector could be handling around 10 amps of current at times. That's probably why newer PSU's have a dedicated wiring path and connector, heh.
The CPU may be unstable with a 'home made' solution so I'd just get a newer PSU that can safely feed that kind of current load.
My two bits. Good luck.
While the optimal solution to any potential problem would be a new power supply with the eight pin connector and the appropriate wattage, followed by the four to eight pin adaptor cable, I thought I would mention the following.
Among socket LGA 775 CPU's, the maximum TDP in the Core 2 Quad line is 105 watts, with most at 95 watts. In the Core 2 Extreme Line, most have a TDP of 130 watts, with one at 150 watts. The supported CPU list for your motherboard lists CPUs with a TDP of up to 135 watts.
The E8400 CPU has a maximum TDP of 65 watts, the max for Core 2 Duo CPUs, so it is in the lower range of Core 2 LGA775 CPU TDPs.
Your E8400's TDP is 1/2 to 2/3's that of the Core 2 Quad or Extreme, so will certainly not be taxing your motherboards power regulation stage since it is designed for almost any socket 775 processor. Also, if you are not overclocking your CPU, and enable CPU power saving features such as EIST, you will usually be no where near the maximum TDP. Intel also states that the TDP is a maximum, worst case figure, meaning most user will never experience this.
Your motherboards manual states the eight pin CPU power connector is recommended if you use an Intel Extreme Edition CPU (130 watts.) Otherwise the four pin connector seems to be fine. A 500 watt or greater power supply is recommended.
You did not mention your power supply's capacity or the other hardware you use in your PC, such as video cards, HDDs, etc. Those will affect the amount of power you have available to the motherboard and CPU.
FWIW, I have an E8400 on a Gigabyte EP43-UD3L motherboard, which uses the four pin CPU power connector. I use a GT 240 series video card, which takes all it's power from the motherboard, and use "only" 4GB RAM (Vista 32bit.) I use a 600 watt power supply, which has the eight pin power connector for the motherboard, but I use the four pin option. I have had no problems whatsoever with this system, the motherboard temps are about five degrees above ambient, idle CPU temps not much above that (six case fans and large CPU cooler.)