Quality FM transmitters will work fine. They're tunable to unused channels in the FM broadcast band and provide quality audio. XM/Sirius satellite car receivers use that method if without a direct input. The issue with the smaller MP3 FM transmitters is that they're automatically powered based on presence of audio. A very popular unit by Belkin, for example, will turn off the transmitter after about 3 minutes of no audio. That's a problem for using them with scanners.
(And yes, you should likely change your close call settings to avoid hitting on the transmit frequency ...)