If you wish to use a good set of headphones that have a 3.5mm plug with your nano-clone mp4 player, you would usually have to use a bulky adaptor.
With basic soldering skills you can slide a 3.5mm socket inside your mp4 player.
The socket I used is from Dick Smith:
Skt 3.5mm STEREO Tubular Panel
This socket can fit just underneath the battery in my player. With some filing of the case there is only minimal bulging, with the right tools you could fit the socket in there perfectly (I used a nail file which was less then ideal).
The photo below shows the soldering points. Green and Red are the stereo output, Brown is the earth. Green is the left channel, Red is the right channel.
With a quick bit of solder and some moving around of the battery you can have an mp4 player with both 2.5mm and 3.5mm audio sockets.
If someone has a link to a smaller sized 3.5mm socket that would fit, please reply.