doesn't keep my iphone awake???

When I'm playing a lesson on my iphone while I'm at the gym or walking somewhere, the lesson will suddenly turn off b/c my phone is set to automatically lock after a certain amount of minutes without being "used."   When listening to music or podcasts, this is never a problem.  Is this a bug in your software or do I need to change a setting?  

I really don't want to change my phone's auto-lock settings ea. time I use ChinesePod b/c it's quite dangerous if I forget to turn it back on, and my phone gets stolen. 

Any help here?