Are you sure it was stolen? Not just lost or mis-placed? Perhaps a 'friend' borrowed it. Best that you tell your parents, and they can help you get through reporting it. If you lost it at school, perhaps it was turned in or confiscated, and sitting in a drawer in somebody's office waiting to be claimed. In which you'll need your parents to step in and ask nice. If you are a victim of theft or robbery (didn't mention how it was stolen), then a police report would be a good idea, but unlikely to recover. But then again, everything is on a computer, and in a data base, perhaps if the find it, they might take the time to match it to a crime report, and track you down to return it (wouldn't that be cool and unbelievable).
Only thing you can count on, is that your parents will find out soon anyway, might already know. They know you spent a load of cash on a toy, told you not to do something, know you would anyway. They are probably wondering when you will come clean, and ask them to help (that's what parents like best). Sure, there is a small price, 'I told you...', but they usually come through. Never know, maybe mom swiped it, before you even smuggled it out of the house. Mine got me that way a few times, lot of times it was outright robbery, 'Empty your pockets'.
Trust me, the longer you wait, the worse it gets. Part of growing up. The worst part is past anyway, no IPOD. It can only get better...