As a gamer and a former member of the SCA, naturally I have been brainwashed to think that it’s a good idea to keep things in a drawstring pouch, possibly hanging said pouch off my belt. Since the only problem with my Sansa Clip+ mp3 player is that I don’t have a good case to keep it in, I was happy to discover that my local drugstore carried microfiber pouches like this, designed for keeping your glasses in.
The idea is that the glasses are cleaned off by the microfiber interior. This also works perfectly well for an mp3 player screen, or indeed for a cellphone or any other small gadget you want to keep clean and unscratched.
There are pouches like this which are supposed to be specially designed for various electronic devices; but if you buy at the drugstore, it’ll probably be a lot cheaper.