First, here are the things you'll need. Scissors and an old tube sock. It doesn't have to be pretty, unless you want it to be. Arts and crafts are up to you.
Step 1: Line up the cut
Next, cut the tube sock about two lengths down from the top. A good way to do this is to simply put your ipod or other device at the top of the sock and flip it over it's end. Or just slide it down. Whatever.
Step 2: Cut the sock to length
Most people say measure three times and cut once, but we just cut once.
Step 3: Turn the sock inside out.
The hard part is over. Turn the sock halfway inside out. If you don't understand what we mean by half way, see the picture. The top should be poking out of what was the bottom.
Step 4: Apply to arm, insert device
Now just slide it on your arm like any other $30 elastic arm band. Make sure the open end is on top to keep gravity from taking its toll. For extra protection, you can fold over the top of the sock to prevent it from bouncing out. This really shouldn't be a problem though.
Step 5: Enjoy!
Now it's time for arts and crafts or what ever you crazy kids do now-a-days. You can take out some needle and thread to make it permanent, cut some holes for access to the controls, have fun with it. You didn't pay for it.
This should work for and hand held device, so if you want to try something else, give it a shot and tell us how it worked out.