It wont come out great but if you want to give it a shot try setting it to 44.1kHz/24bit, 48/24 would be ok too, leave the limiter and compression off, leave the record level at 100 (default, and its on the digital side anyway), use the three position mic sensitivity switch to get your level (start at low), and choose which pair of internal mics you want, probably the narrower angle would be best. Be sure to have fresh batteries or fully charged rechargables. I have recorded some arena shows with the H2 in my shirt pocket but you have to be careful about moving too much, etc. And make sure you have the display light set to turn off after a few seconds. A piece of tape over the mic indicator light is a good idea.
Its mostly plastic so may get past security wanding but I don't know for sure. That metal grill over the mics may be a problem. Heck, if you can stick it in a holder on your belt and attach some ear buds you might get away with calling it an MP3 player.