Well, the way to get the Clicker to only make sounds in your headphones is to switch that setting to "Headphones" as opposed to "Off, "Speaker", or "Both".
The only iPods I've ever used are two nanos (first and second generations), however, so I'm not sure if Fifth Generation iPods are different in this way and even have the "headphones", "Both", etc. features on them (I am presuming they do).
If a Fifth Generation iPod user could help me here and confirm whether this is a setting with Fifth Generations or not, that would be nice. 🙂
-Kylene