most stereo systems have a single "line-in" jack in addition to the standard inputs. this would be the most ideal way to connect your mp3 player.
you could play your mp3 device through your computer but that would require your computer to be on every time you want to listen to music as well as a "line-in" port. the mic-in might work but normally this doesn't play over the speakers unless a program tells it to.
if you are already using the line in port on your stereo you could always put a splitter cable there. this wouldn't require any unplugging then.