I got handphone to play mp3, no need put additional gadgets in
my pocket. 
Anyways, I'm using k750i and it's very much similar to the w810i in
functions. I listen to mp3 and radio broadcast everyday. Yes, you
can receive calls while your music is playing but it'll stop during
your call. With those rubber ear studs earpiece, you can enjoy good
quality sound, none of the bass is lost because it's kinda
"airtight" when u plug it into your ears, which totally shuts out
the exterior ambience and makes you feel you're in your own world.
You can play around with the equalizers too. I dare say the phone
and earpiece has better sound quality than all the mp3 players on
the market. If somebody disagrees, tell me the winner.
As for inconvenience...hmm. Well, you'll need a larger memory
stick.
HTH.