The output from your hi-fi system is analogue form. The information needs to be converted to the digital MP3 format before it can be stored on your MP3 player. The usual way to carry out the conversion is by using software on your PC. (A very few MP3 players, eg Philips HDD120, have built-in software that allows recording from analogue signals but the vast majority of players don't have this facility).
So, unless you've got one of the few players that have a dedicated analogue recording facility, you can't do what you propose.
Chris