I noted that on my Archos Key, the FM transmit works better with the head phones plugged in - it functions as an antenna, as it would in FM Radio mode. My experience is the same as dbradford regarding volume, however. If I left the headphones plugged in while using it in the car, I might eventually damage them, and give a police officer the idea that I had been driving with them on. The battery life may also be better if there is no load on the output. The solution for me may be to try making an antenna (maybe just a junk pair of earbuds, with the buds cut off; but making sure the wires aren't short-circuited at the cut end.) to use in the car.
Too bad there aren't more detailed instructions, but a little exploration and note taking will solve most of that. I will still need to use reading glasses or a magnifying glass to read the display, so if I use it in the car, I can't do anything with it while moving.
Coquitlam, BC, Canada