Not the easiest thing to do.
UPDATE: Here's the awesome device of which I speak.
I'm currently listening to a mix of the Pandora radio stations I've set up. The sound quality is fantastic, and I can plug it into the little cassette adapter to listen to Pandora in my van.
No, it's not 8-track adapter, and the van isn't a Dodge with shag carpeting in the back.
Anyway, it's quite cool. I'm still learning how to use it. One advantage it has over th iPhone is that it does multitasking. So I can have Pandora running and launch other apps. It's been updating my email all day. I used to disable my Treo's update options because it constantly notified me of new emails. This phone doesn't vibrate or give me a tone when I have new emails, which I like. Anyway, very cool. If I didn't have to have my calendar and Outlook contacts with me all the time, I'd never buy something like this.