This use to be the case for Ni-Cd batteries and "Dumb" timer-based Ni-MH battery chargers. For example, if you placed a half-charged battery in such a charger, it would result in the battery being over-charged.
Most current MP3 players with a built-in battery are rated 20 to 30 hours, so my suggestion would be to first try using it daily until the battery is fully discharged. For example, if you use it 2 to 3 hours daily, you'll probably only need to charge it once a week.
I don't recommend plugging it in every night, unless you see the charge indicator falling below half-way. Although lithium ion batteries don't have a memory effect, they don't like being kept fully charged, which is why those who usually keep have their laptop plugged in usually find that their battery fails within 2 years of purchase.