I bought the Nike + iPod kit for my Nano, not long after Nike released them.
I finally got the transmitter attached to my shoe a few days ago. I used the method described here to sew Velcro onto the tongue of my left running shoe and the other side of the Velcro is glued onto the transmitter. I tried to use the transmitter without the Velcro and about a mile into my run on the treadmill it flew out of my shoe.
Here's what my shoe looks like with the transmitter attached:
And here's a close-up of the transmitter:
I ran a little more than 4 miles today and the transmitter didn't move at all. Also, with the lower laces loosened up a bit, it isn't uncomfortable to have it between the laces & the tongue.
The software on the iPod works great, although I need to calibrate the transmitter to my stride length. Right now it is too optimistic about my speed. The real test will be next week when I run the Judicata 5k race.
The biggest problem with the software is the voice is too loud. They need a software option to change the volume level.
All in all, if you own a Nano and you run even a little, you need this thing. Heck, it's only $30. Also, I think the 1.2 firmware update makes the nano work better. I had some crashing problems with the previous software versions.