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
Step 2: Step 2
Now tuck the earbuds under the cuff and listen to your tunes through the hoodie material.
You can casually lean your head on your hand, just make sure your ear is on your wrist. Or you can lay on your desk and cross your arms.
You can now jam to your tunes in class!