Jacket pocket is pretty roomy for the Z. In summer I even carry it in my shirt pocket - a bit bulky true, but at least it stays with me.
In the jacket, (like today, I left my bag in the car an just carried the Z in my jacket - planning to get out of ioffice quick), I even have the wifi card in the zaurus, which sticks out a bit. But no problem.
Best is of course to have a small bag, and you can just dump the Zaurus and accessories in the bag.