Most portable transmitters are similar to
this Belkin. By running off AA batteries it's the most portable way to go, but those batteries are it's downside too. For your application battery powered transmitters don't seem practical.
Along a similar line of thought as the device you found would be
this Car Star transmitter. Plugs into the cigarette lighter, then you plug in any player to it. No power concerns for the transmitter itself, transmitter would be secured instead of rolling around or taped to the dash. Wire coming from it to hook up to the player for the audio. If this thing works it and a standard player is what I'd suggest.
Don't know anything about that product beyond what's there on the page.
Here's a similar product that may or may not be better, but costs more. One more of the same style
here.
For an all in one solution I was thinking of the
Neuros player. Up in the iPod price range and a lot different than what you were looking at, but worth mentioning. Think there are some less expensive players with built in transmitters too. No wires this way, only one piece of hardware to keep track of.
Finally, found where to buy the device you found.
Right here. Straight out simplest way to go, but a plug style transmitter and seperate player is still what I'd do. Whichever you decide, enjoy!