Personally I like mono because I like to be aware of surroundings when walking around and so only use one earpiece a majority of the time. These days you can get stereo single-piece phones such as the 1-Bud or the One Good Earbud but as a niche product they tend to be relatively expensive and/or hard to get hold of.
If your MP3 player doesn't offer the option to mix stereo to mono for you, which isn't a common feature (see if it can run Rockbox if not) there are some crude hacks that might help. A stereo jack is split into three sections by two plastic rings; the tip is usually the left channel, the middle bit is the right channel, and everything past that grounds the electrical signal. Hence the abbreviation TRS, tip-ring-sleeve.
In order to get the same signal passed to both earpieces the simplest method is to bridge the tip and the first ring, and short-circuiting modern audio hardware in this fashion generally won't damage it. There's always a risk, though, so if you break anything it's your own damn fault. It can be done very simply with aluminium foil wrapped around the end of the jack, but with a strong chance it'll fall off inside the MP3 player. For a more durable connection, you can get a 3.5mm-to-1/4" stereo adapter and a 1/4"-to-3.5mm adapter (shown left), grind down the first plastic ring in the latter, wrap your foil around, and seat one inside the other. That'll get you an adapter that's probably longer than the player.
Also note that because you're adding two signals together there's some effect on sound quality, with elements that were originally present on only one side of the mix coming out a bit quieter.