The audio ebooks Kindles support are in Audible format which is already suported by a lot of mp3 players. No conversion is needed; you just copy them over to the MP3 player and you're good to go. A lot of folks round these parts seem to like the Sansa Clip--compact, good quality, and generally affordable.
Check here for compatibility with your hardware:
http://www.audible.com/dc?mt=mp3&mfid=41