you can't make one.
let me explain, you can make one but it will be rubbish,
if you make one from fabric it will look like a toy player with so many clips and thing's hanging on the side (for the hand grip sd card grip cable grip etc)
if you 3d print one it will cost you a small fortune, (100$ or so for 1 print in my country) and it will melt in the sun, so not so good.
and to add to all of this the players unique shape makes the work hundred times worse with the wide endings and slim middle part, the screws on the sides and etc
but for the good news, if you have the audeo headphones the case that comes with them is perfect for the player.
you have a place for the player, sd cards and headphones in there plus you can hold it with 2 fingers (just slide 2 fingers to the back holder and it will stay)
so just buy 400$ headphones and it will come with a case for the player, sd cards and headphones for "free"