It’ll work fine. You might have to futz with the volume a bit to keep the level fairly constant when going from radio/CD to the Nomad. I typically have to keep the volume up higher than I’d use for headphone use when doing this with my iPod or MD players. IME, it seems like some car stereos don’t allow as much gain from the aux in jack.
I did this for a while, too, when most of my music was on tapes and the best speakers I had were on my computer. I plugged my Walkman into the audio in on my computer, and it played fine. I was even able to record a few things onto my computer this way, but this being in the Old Days pre-MP3 and pre-gigabyte hard drives, it wasn’t really a good option. I got the double-male cord from an old pair of headphones which had the cable detachable from the earpieces, but I would imagine that one could buy something similar by itself at Radio Shack.
If you’re just buying this one cable and price is really not a concern, Radio Shack is a good bet. OTOH, if you happen to need several cables, accessories, etc. where you can justify the cost of shipping, BuyExtras.com is a good site with lots of cables at good prices. IMHO, you can never have too many cables or adapters.