[boredpig]

http://www.lightinthebox.com/Wireless-Card-Reader-Folding-Headphone-MP3-Player--KLY276-_p140186.html I think these would be a very portable set up!

 

[Belabor]

Portable, sure. Usability, sound quality, build quality and customer support are probably very poor, though.
I like the idea, but it's definitely not something I would buy. 

 
How on earth do you even use that thing without taking it off your head all the time? You might need extensive yoga training for that.