In short:  You must manually deploy the SSAS cubes to your SSAS 2008 server.

On your Dynamics AX 2009 installation media locate the following folder:

[MEDIA ROOT]:\support\Analysis Services\Scripts

Locate the DynamicsAX.xmla SSAS deployment script.  This file contains all the information to create the SSAS database, all the dimensions, and all the cubes.

To install this script you must open SQL Server Management Studio 2008 and connect to the Analysis Services server.

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Next, right click on the SSAS server root node and choose New Query | XMLA.

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This will open a new XMLA query window.  Drag the DynamicsAX.xmla script into this window and execute it.  This will create the SSAS database for Dynamics AX.