If that Alpine head is mondo expensive, it must be hella old, because high $$$ HUs have been featuring Aux jacks for a good while now...

Anyhow, you should be able to build an adapter, you just need to know the order of the pins in the changer cable.

Lastly, the FM modulation thing has good much, much better in recent years-- I just installed a Sirius kit in my mother-in-law's truck, a fancy Ford Ranger with high dollar Pioneer 2500 or thereabouts, and it stunned my by sounding really, really good.

You needn't worry about loss of fidelity through FM modulation-- you are talking about mp3s, and any system that's well set up will show every flaw of every one of those low-bitrate suckers. Mp3s are great because they're free-- but convert something with real range, like Sarah McLachlan or Portishead: Live and listen to the tinkling of digital encoding... its almost like LPs for the car, only without the skipping and the warm tonal variations. But hey, that's the trade for 40gb of music, right?