Konnichiwa hanslem san,
As long as you have a MP3 capable player, you can download to it and take it with you wherever you are. I know that some of my colleagues, bluetoothed the MP3 files to their mobile phones and play it from there.
So as long as you have a MP3 capable player, doesn't matter if it's PSP or DS or even a mobile phone, it's viable to do that and also be able to play it wherever you are.
PDAs and mobile phones today also incorporate PDF viewer or it can be downloaded as well, and you can use it to view the Transcripts or the Grammar lesson as you go along with the lessons, and it's also convenient as those are in PDF format.
Hope that helps. :)