I have tried this with a number of FM Trnasmitters, and a couple of portable DAB radios (The PocketDAB 2000 and the Oono MiniDAB) with little success.
It would appear that with most FM transmitters, they use the connecting cable as the transmission aerial, connecting this directly to the headphone socket of the radio means that the radio will expect to use this cable as the receiving aerial. In my area, the 'interferance' from the directly connected FM transmitter drowns out the chance of DAB working, although in the case of the MinDAB, the signal meter still registers that there is a signal, no sound can be heard, both radios have built-in MP3 playback, and this works fine, it is just the DAB which doesn't.
I have heard some people have managed to get the AudiaX to work with the PocketDAB, perhaps they are in a better DAB area, but I have had no luck with this so far.
There are other types of transmitter available, such as the
FM Cup from macally (designed for the iPod, but should work with any DAB radio because it has a line input socket) this should allow you to get some distance between the transmitting and receiving aerials, which may help.