Hi,
The easiest is to export as .mp3 and then transfer to your player. Unless of course you didn't pay for their crap .mp3 encoder option (and only get 10 tries).... which I hope you didn't! Then you can export as .wav (for FREE) open it in Audacity (FREE SOFTWARE) and convert it to .mp3 there (FOR FREE!)
Plus the free Audcatiy encoder is better than the paid Magix version which leaves artifacts and destroys your volume levels.
Either way - get it to .mp3 first then transfer to your player as normal.
Justin