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I was always loosing the rubber earpieces from my Sonys, so I found some reaplacements, which actually work better (to my ear)
Step 1Buy earplugs
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I found these ear plugs at a local camping/outdoors store. They're designed to reduce outside noise by using a removable plug to antentunate either high frequencies (in-flight noise) or low frequencies (snoring)
I use them for work because I sometimes spend periods in a loudly air conditioned server room.
The plugs are made by a company called "Design GO" and cost 6UKP
http://www.justsportandleisure.com/Details.asp?PID=4489
http://www.musicianshop.com/cgi/musicianshop-uk.cgi/pageaccessories/4435a2740cfd
Looks like thery're popular with musicians too (although probably more for the roadies!)