Sorry guys; I made a mistake!
After importing the files into Audacity, I can see the MP3 files for the portable device have a much smaller amplitude:
http://i57.tinypic.com/29n9t21.pngThe thing that threw me was that I was using Media Player Classic as the comparison for playback volume and this was playing both the portable device version and the original at the same volume. Turns out volume normalisation was enabled in the player - doh!
Still don't understand why the volume jumps around when playing on my car sound system. I'll wipe the memory stick and start again from scratch using fresh files.
Also, I can confirm that if I select "convert all files" the replay gain tags get removed and the volume levelling is applied permanently to the output file. However, with the other conversion options selected, the replay gain tags remain, even though the volume has still been permanently adjusted on the output file.
Thanks both for your help and good idea about just analysing the portable device MP3 to see if it has been adjusted correctly.