Unfortunately that unit doesn't have any input jacks on the back so your two solutions are the cassette adapter like you had, or an FM transmitter that converts the output of your 3.5mm audio jack to an FM radio signal, then you tune your Sony to whatever radio station you set the device to and it picks up the signal just like it was an FM radio station. So for instance if you set the unit to 87.9, then you'd set your Sony FM radio to 87.9 and the it would pick up the signal.
http://www.amazon.com/Belkin-F8M010ea-TuneCast-III-Transmitter/dp/B000OUF8QC/ref=sr_1_2?ie=UTF8&s=books&qid=1254446510&sr=8-2
There are LOTS of these types of units available, but most of them are designed to be used in a car and get their power from a 12v outlet in the car. This one either uses batteries or a separate power adapter that does not appear to be car oriented.
Here are all the FM transmitters Amazon has, ,but like I said, most are for the car or specifically designed for iPods.
http://www.amazon.com/s/ref=nb_ss?url=search-alias%3Daps&field-keywords=fm+transmitter
