Portable audio device for gym etc. with radio - advice needed.

I'm currently using my iPhone for listening to music and radio when exercising and out walking.

It's too big and too heavy.

I want to replace it with something that will give me music and radio, something that is small and light.

Ideally, I'd like to be able to copy all the music I've put on my iPhone onto it. So, would there be an issue of file compatibility here?

I love the look and size of the iPod Shuffle, but it doesn't seem to have radio.

The iPod Nano does seem to have FM radio (can you load an app for WiFi radio?), but it doesn't have the clip that the Shuffle has. (can you buy a clip for it?)

What are the alternatives to Apple?

Many thanks.

D.