I don't know what you use for a headphone, but I don't believe you'll be happy with any of the current bluetooth headsets on a treadmill. They're substantially bulkier (battery size, I suppose) than a fine set of earbuds. (I recommend Koss's "The Bud").
I find the Ax isn't a very useful music player anyway

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It's too delicate to take for a "real run", and looks scary susceptable to sweat. Until someone comes up with a remote, I can't see using either a stylus nor the front buttons while running to change tunes. Forget altering the volume with the current interface; the WMedia Player volume control goes from "4" (off) to "7" (just a bit too loud) with nothing in between.
I'll stick with my Sony NetMD for tuneage
and use the Ax to hack into my desktop!