MP3 files are already compressed. You can reduce the quality downwards which will reduce the amount of space they take up, however cd quality is normally expected about 128kps, any less and you will notice the difference.
Of course, it may be that your music has been sampled at a higher rate then this, in whch case by all means drop it down to a level that you still find acceptable.
Alternatively, your mp3 player may also work with other formats such as WMA,AAC,MP3pro or OrgVorbis and as they are newer then MP3 tend to be able to produce better quality at lower sample rates, solving the space/quality dilema.