Word of caution: If I were you, i would not use these with mp3 players that use hard disk drives (as opposed to flash memory, like many newer ones) because there is a chance that the magnets in the speakers could mess up the data on the disk, and brick your player.
So i built this, not knowing how well it would work, and when I finished, I realized that I should have taken photos so I could make an instructable about it. So I have whipped out my trusty tablet, and recreated all the steps by drawing them out in painter 6. If anything is confusing, please tell me so i can clarify.
Step 1: Materials
8mm male audio jack
Sheet aluminum. I just used aluminum flashing, which is extremely thin, and can be cut with scissors