Just keep it in a pocket... Does your riding coat have an mp3 pocket?
It's not going to get banged around, but make sure it can't get wet. And make sure it's in a pocket that will not unzip, both for wetness protection and to not have it fall out and lose it.
Putting it in a baggy is kinda crazy unless you plan on your pockets getting full of snow and water... Most shred gear has zippers on the pockets and most shred coats have mp3 pockets inside.
"When I do good, I feel good; when I do bad, I feel bad. Thatís my religion." - Abraham Lincoln
Moral of the story: If your going to rob people, wear a diaper.