Heartland

Let's say someone were to want to record an event (for the sake of argument, a concert) on an MP3 player, how would one best get the device into the venue? In plain sight ("no, mr bouncer, this is an MP3 player, not a recording device"), covertly ("This bulge in my trousers? Well, you can stick your hand down there if you like but I don't think you'll like what you find"), or some other way? Of course, there's always down the boot...
Any suggestions?

I have found my leather jacket invaluable for sneaking in things like cameras, mp3 players etc as it's quite bulky anyway so they don't really notice when they pat you down (or whatever) - got my camera into Bauhaus recently like this even though I was searched quite thoroughly!