I take it the key is in the ignition when your looking at the CD Changer? Its a bit like the Fridge light senario. "How do i know that the light goes out when i shut the door"
Best way is to get in the car, and lock the doors (dont move tho) and after about a minute the CD changer should go to sleep. You will also notice that the Hazzard light will stay on for about a minute too.