It is definitely worth it! I got my money's worth for Hypnobabies within a few days of buying it. Between my increased confidence, improved sleep and all the amazing natural childbirth information I had already learned, a few days is really all it took for me to know the purchase had been a good one, no matter what the birth was like, and despite our money problems at the time.
I never "hauled the player around" during my 3 hypnosis births. I preferred to listen to the scripts out-loud, but many women put them on an MP3 player, their phone, etc, and listen that way. But listening to CDs, while very helpful for many women during birth, is not a requirement of using Hypnobabies during birth. You will be learning a large number of techniques that you and/or your birth team can use to instantly relax you, increase your comfort and release stress. Plenty of women find that they prefer getting verbal prompts and physical cues from their birth partner, or simply using the cues they've learned to give themselves.
I did put my scripts on an inexpensive MP3 player for my most recent birth, and enjoyed that for practicing.