OK, I'm cheating a little, but I figured out that I can connect a normal cellphone Bluetooth headset to my laptop which has an IOGear BT dongle. It's a little cumbersome because to have to changed the default sound device to the BT device, but I put a shortcut to the Control Panel's Sound and Audio Device app in the Quick Launch bar for quick access. Then I just plug my Sansa Fuze into my laptop and play the files using Winamp–essentially the the Fuze is just working as a removable drive.
I'm using a Jawbone headset and the sound quality is TERRIBLE, but since I'm only listening to podcasts it's tolerable. I may splurge and go with a Plantronics 855 which supposedly has better, but not great) sound quality.
It's sure nice being wireless.
UPDATE 2008-09-17:
Found this post that goes into more detail on how to get the BT headset to work with XP. Link