Get the Sansa Clip plus (I like it better than the zip). You can get the 4GB version for 40 bucks at B & H. It’s tiny and can clip onto anything. It also has an expandable memory SD Card slot so you can put shas on there. It even has a voice recorder so you can clip it onto your belt and record shiurim.
You can put the files you want to listen to in the audio books folder (even if they are in regular mp3 format) and then when you play them you will have the option to listen to the shiurim at slower, original or faster speeds.