JavaScript to jQuery

How would I change the following inline code into jQuery?

<select name="month" id="month" onchange="setDay();">
<script type="text/javascript">
var monthsArray = new Array("", "Jan", "Feb", "Mar", "Apr", "May", "Jun", "Jul", "Aug", "Sep", "Oct", "Nov", "Dec");
for(var i=1; i<monthsArray.length; i++)
{
document.write('<option value="' + i + '">' + monthsArray[i] + '</option>');
}
</script>
</select>

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