I bought one of these Aux input to RCA converters (
http://www.logjamelectronics.com/piehon98aux.html), then went to Radio Shack an bought an RCA-1/8" stereo Y adapter cable. I had the Aux input cable installed to the back of my stock stereo head unit and now I select CD Changer on the stereo, plug in my MP3 player and play the tunes through the speakers. It works so much better than the FM transmitter, since Houston has a very crowded FM band.
I also had to put in a ground switch in because my MP3 player ran of batteries. If I used the Cigarette lighter adapter, I wouldn't have to ground it, but I added the switch just in case. I can't find the info on the ground switch on the LogJam site, so you may have to search around for it.
I'm not a car stereo guy, so I just took it to local car stereo/alarm shop and had it installed for like $50.