Wearing the Dolphin MP3 player in the shower will probably work just great, but the way you look and feel while doing it won’t be as great.
Instead you could try the Net Waterproof Juke Tower MP3 Speaker ($129). It’s been designed for for bathroom and outdoor use and features an embedded LED clock as well as track display.
You’ll get 2GB of storage and the 3 x AA batteries will last for up to 12 hours of playback time. Works with both PC or Mac, where you can just drag-and-drop tracks onto the Juke Tower.