It is an open problem to determine for which maps $f$, any compact invariant set $K$ carries an ergodic invariant measure of the same Hausdorff dimension as $K$. If $f$ is conformal and expanding, then it is a known consequence of the thermodynamic formalism that such measures do exist. (We give a proof here under minimal smoothness assumptions.) If $f$ has the form $f(x_1,x_2)=(f_1(x_1),f_2(x_2))$, where $f_1$ and $f_2$ are conformal and expanding maps satisfying $\inf \vert Df_1\vert\geq\sup\vert Df_2\vert$, then for a large class of invariant sets $K$, we show that ergodic invariant measures of dimension arbitrarily close to the dimension of $K$ do exist. The proof is based on approximating $K$ by self-affine sets.