Sony's Discmans (Discmen?) have come a long way from the old silver bricks they once were. The ones I have owned are fairly dependable, the newer ones with the G-Protection are indeed virtually unskippable. There is a good way to test your Sony's skip protection:

1.) Open the CD Player's cover.
2.) There will, somewhere on the lid, usually in the back, a little tab that completes a circuit on the unit's circuit board to tell the player it's closed. You need to find a way to do that with the lid open. (I use a pen lead or a Q-Tip)
3.) Trip that circuit, then press the play button to test your jury-rigged system. If it works, proceed.
4.) Make sure a CD is on the pivot. When the CD starts playing, (you need to hear the music or whatever) let it spin for awhile, and then physically stop the CD. Take it off if you want to. I let it play for a full minute and then remove the CD to test this. I actually found out that a model of Sony player I bought only had 7 seconds as opposed to the advertised 20!
5.) Other tests at your discretion.

Also, if you like, you could find a way to leave the circuit perpetually tripped! Impress your friends!

(Note: I am not as of yet aware of any damage this can cause to your CD player. I am not responsible if you screw it up.)

The way the skip protection works is that it spins the disc at about 2x to 10x speed and reads the music coming up into a chip. Say you have a 40 second player. The player will read 40 seconds worth of music, and will then let the CD just coast until the player feels that more needs to be read. This performs a double function by giving the batteries a rest as well as skip protecting your music. This feature is especially prevalent on the newer G-Protection models. I must say, I can go about two weeks without having to change batteries.

Sony's portable CD players (especially the newer ones) also have a feature that automatically distorts the sound at higher volumes. Now, I ride my mountain bike almost everywhere, and when I am riding in a headwind, and it gets really hard to hear at half-volume, I crank it up. With Sonys, I get really distorted music. If anyone out there has found a way to disable this, please node it here, I would appreciate it.