This is something I do on almost a day to day basis. And it is almost impossible to get caught.
Heres what you need:
1. A long-sleeved article of clothing (hoodie or otherwise)
2. Pocket music player of your choice (Zune ftw!)
3. Headphones. And the ear bud kind.
Step 1: Step 1
Thread earbuds up through hoodie and through one of the arm sleeves.
Get a playlist up then turn off player, so all you have to do is press on then play.
*dotted line in picture means beneath hoodie