Xbrav: Good for you; that's great if you are using 1,5v cells like Duracell alkaline, but since I used re-chargable Ni-Mh AA cells (2600mAh capacity) the voltage regulator is not needed. Ni-Mh cells are nominally 1.2v; so 4 cells gives you 4.8v and totally safe via the USB port.

You could also use NiCad re-chargable cells which are also 1.2v per cell, but typically NiCads only have 600mAh capacity, so go for the higher capacity Ni-Mh cells at a bit more cost. They are worth the price. You can use an old NiCad battery charger to recharge the AA cells.

Gameboy micro battery has right volt value and the mAh value is twice as big as the original one has.
The size of the GB Micro battery is almost just a same as Chipod nanos have.

Or you can use "two" batteries, but the another one has changeable 9v-battery and you get 3h more playing time. You have to do it yourself:
http://www.instructables.com/id/EO7VZ73NWXEP286ZV3/