What about this? It's not GFF format but it should be pretty easy to reformatted as such.
mysql --user=genome --host=genome-mysql.cse.ucsc.edu -A -e \
    "select * from hg19.cpgIslandExt" > hg19.cpgIslandExt.txt
Replace hg19 with hg18 to get the 18 version.
Sample output:
bin     chrom   chromStart      chromEnd        name    length  cpgNum  gcNum   perCpg  perGc   obsExp
585     chr1    28735   29810   CpG: 116        1075    116     787     21.6    73.2    0.83
586     chr1    135124  135563  CpG: 30 439     30      295     13.7    67.2    0.64
587     chr1    327790  328229  CpG: 29 439     29      295     13.2    67.2    0.62
588     chr1    437151  438164  CpG: 84 1013    84      734     16.6    72.5    0.64
588     chr1    449273  450544  CpG: 99 1271    99      777     15.6    61.1    0.84
...
EDIT: Also convert to GFF using home made awk script:
awk 'BEGIN{FS="\t"; OFS="\t"} NR>1 {print \
    $2, \
    "cpgIslandExt", \
    "CpGi", \
    $3, \
    $4, \
    "0", \
    ".", \
    ".", \
    "name \""$5"\"; " \
    "length "$6"; " \
    "cpgNum "$7"; " \
    "gcNum "$8"; " \
    "perCpg "$9"; " \
    "perGc "$10"; " \
    "obsExp "$11"; " \
    }' hg19.cpgIslandExt.txt | head
Sample output:
chr1    cpgIslandExt    CpGi    28735    29810    0    .    .    name "CpG: 116"; length 1075; cpgNum 116; gcNum 787; perCpg 21.6; perGc 73.2; obsExp 0.83; 
chr1    cpgIslandExt    CpGi    135124    135563    0    .    .    name "CpG: 30"; length 439; cpgNum 30; gcNum 295; perCpg 13.7; perGc 67.2; obsExp 0.64; 
chr1    cpgIslandExt    CpGi    327790    328229    0    .    .    name "CpG: 29"; length 439; cpgNum 29; gcNum 295; perCpg 13.2; perGc 67.2; obsExp 0.62; 
chr1    cpgIslandExt    CpGi    437151    438164    0    .    .    name "CpG: 84"; length 1013; cpgNum 84; gcNum 734; perCpg 16.6; perGc 72.5; obsExp 0.64; 
chr1    cpgIslandExt    CpGi    449273    450544    0    .    .    name "CpG: 99"; length 1271; cpgNum 99; gcNum 777; perCpg 15.6; perGc 61.1; obsExp 0.84;
                    
                
                 
as soon as I convert this to GFF format I loose information. You can also try and see it, I am using ucsc_table2gff3.pl program from biotoolsbox (https://code.google.com/p/biotoolbox/).
See edited answer to convert to GFF, I haven't checked it very carefully but I think something on these lines should do. (I'm not familiar with the tool you linked)