Well the easy way around this problem is to simply buy an AC power adapter for your MP3 player. That way you won't need to worry about the batteries draining.
If on the other hand you like pain and suffering of doing things Mickey Mouse way then try connecting by using a headphone jack on your MP3 player. Usually headphone outs on Walkmans, Discmans, MD and MP3 players are hotter than line outs. OF coarse then you will need to worry about batteries again. ALso, you might want to get rechargable batteries. Saves lots of money.

-ED-
[This message has been edited by 3351 (edited 08-15-2005).]