I've never heard of that happening, no. And lots of people on this board have brought MP3 players through customs before. I'm pretty sure it's something they aren't even interested in checking.

The only things they are worried about are things you might be bringing to sell in the country. For instance, your personal MP3 player full of tunes isn't something they care about. But if you brought a case full of shrink-wrapped CDs ready to sell, then they'd want their cut of the profits. That's all.