Yep, I own an MD player myself, and mines was the first one to have MDLP. The proud owner of an MZR-900, bought it a year ago... been nice to me ever since.
MDLP is a big sacrafice in quality, LP2 is reasonsable but LP4 is pushing it. If you wanted a nice minidisc player the MZR-N1 will allow you transfer MP3's to your Minidisc player at realtivley quick rates (But I don't like the program because it compresses in LP2 first which is 132KBPS... d'oh!!). I think I would take MP3 just for convenience and because it's an open standard and you can probably get MP3's offa an industry standard Flash card so it's less of a hassle to get music because most Mp3 players use the same format. Doens't the Clie support flash? Like SD flash or something. If so, you can just transfer some MP3's over from your friends MP3 players and be rockin in no time.
Ofcourse, this is considered border line illegal and would upset sony so I wouldn't reccomend you take it too far and get a 1GB flash card and carry around your Mp3 collection...
MP3 playback also kills battery life. Check how long the Clie will playback MP3's. Guarantee it won't be over 20 hours even with the screen turned off.
For casual listening though, you should be fine. I wouldn't let a Clie replace your Mp3 player though...