I used the Monster cassete adaptor when I had my '02 GTI and it worked/sounded great. Now I have an '05 STi with no tape player (it's funny how I would now prefer a tape player over a 6 disc changer)! I'm pretty upset b/c the FM transmitter is crap.
Anyway, another option could be to burn songs from your I-Tunes library to a CD since you can fit up to 20 songs per CD. This is the option I am considering since I also want to keep my stock head unit for now.