I looked into portable XM players and found them still in a very primitive and expensive stage. These seem to be my best options:
The mp3 and XM radio combos are not very advanced and it looks like I may have to purchase an iPod and then an XM radio receiver separately. What a waste. I'm sure in a year or two they will be combined. But for now I may have to go separate if I want to be able to play XM radio in my dance studio and car with just one device.