Honestly, i had a portable cd player , and a bought a MD player a couple of years back, along with a Live! platinum for the extra optical outputs.
I know it takes time to record, but it's great and fits in just about any pocket

.
Currently i'd go for a mp3 player. There's a few dirty cheap that read a 8cm cd's (small ones) and read mp3. You can get one for under 80 bucks. And most cdrw record those 8cm cd's.
It's something to consider, imo, knowing that the HD versions are still very expensive.