If you select FM, you are enabling another device within the wee Clip. It does not draw very much additional current. I have enjoyed the FM for many hours, without noting a significant increase in battery use.
Note that the FM mode is continuous, unlike selecting a group of mp3/wma files. With digital media, the Clip shuts down after ending playback if you enable auto power mode. The FM will play until the cows come home. There is a cool sleep timer, though.