No problem. Fork conversions on the KDX are quite common. The stock forks are lackluster at best, although with some time and money they can be set up to work quite well. Sometimes it's easier/cheaper to just install MX forks. I'm running a yz250 front end on mine. KX is the most common.
A kx500 front end is a direct swap. You need the forks, triples, and front wheel. I think you can use the KDX caliper for that install. The stem and bearings are the same for kdx kx5 so it bolts right up.
KX125/250 forks will require you to press the stem out of your KDX lower triple and have it pressed into the KX lower triple. After that you bolt it together using KDX stem bearings on the KDX stem. Again, you need the forks, triples, and front wheel. Steering stop needs to be extended a bit afterwards to keep the bigger forks from hitting the tank.
Takes a little effort, but a very worthwhile mod. If you have any specific questions, feel free to post them up. I can try to help, and I think there may be a few other front end conversions here. at
www.kdxrider.net there's an entire section on MX fork conversions.
J.