1. Get a Mac Mini.
2. Attach a small LCD screen to the top. (Like a PSone screen, but flat against instead of hinged.)
3. Either get one of the trackball/touchpad mice that clips to the side of things, or better yet get a touchscreen LCD in step 2.
4. Attach a small keyboard, like one designed for a palmpilot maybe. (alternatively, use an onscreen keyboard - not suitable for some games though, I'd imagine.)
5. Attach some sort of battery pack. Maybe a belt-mount one, like Nintendo sold for the original GameBoy.