mikepeck - here's one option: You could run it without a fan, underclock it if possible (you'll only need it for MP3's, in which case you don't need all that power anyway), so that'll cut back the heat, assuming you havea motherboard which supports < 66mhz FSB. Then, run either Linux, or win2k, or win9x but using something like RAIN. Basically, you'll just want to run mp3's, nothing more, so that uses up, perhaps, 10% of the CPU time (at 366mhz), and the other 90% of the time you have it doing nothing by using the HLT command (which is turned on by default in win2k, and most distro's of linux, afaik), and if you only use win9x, then you can get something like RAIN, which does the same thing.
At max, the 366 dissipates ~20watts. Under "normal" application (ask Intel what "normal" is), it's at ~14 watts. If your CPU is using the HLT command, and runs only mp3's, you should be fine with merely a heatsink.