I used to use a Sandisk Sansa when I was using gear without a dedicated player, but I prefer to have my CDG and MP3 in my keyboard and in set lists or folders, mainly, unlike you, I pre-plan my programs, and don't jump around very much.
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pa4X 76 ,SX900, Audya 76,Yamaha S970 , vArranger, Hammond SK1, Ketron SD40, Centerpoint Space Station, Bose compact