First of all, this is mostly intended to be a simple solution. Nothing fancy, more of an experience. Take it as a draft if you want. Get some ready available cloth and some sewing tools - you probably have them around in your house.
Wrap your Sansa Clip+ with the piece of cloth and mark how much cloth you'll need. Leave a bit more of cloth so you can sew the parts together.
Once you have cut the cloth, now it's time to sew it together. Since I wanted to make the sack tight, I sew it with the Sansa Clip+ inside it to have it as a reference. Remember that you're sewing it inside-out, so the outer side is the one that will end inside.
Once you've made a rough stitching as an outline, take the clip out and sew the whole thing carefully.
Once you're done, reverse the sack and put the Clip inside to check if it's ok. The margin of error is pretty big, so you don't have to worry.
Since the sack is tight, you can make a cut for the earphones plug. Having done that, sew the borders carefully so they cloth won't open..
If you want to have it around your neck, grab a cord to your liking and measure it to have the sack at the exact height you want to put it. Have the cord sewed to the sack. This pretty much does it.
Here's a detail of the earphones plug on the completed sack.
The final thing. This took me no more than 20 minutes to complete. Once I have the design tested well enough, maybe I'll make a new one with better materials. In the meanwhile, it works as I expect.