all you need is an old pair of over-the-head headphones, a wool hat with inner lining, and a needle and thread.
Please keep in mind that this is the way I did it, there are scores of other ways this may be done. If you don't have exactly what I have, or disagree with my methods, harness your creativity and make a better one.
Step 1: Harvest the Phones
Step 2: Make the First Incision, Doctor
Slide the phones one at a time thru the slot, finagle the speaker for the opposite side to the other ear flap
Step 3: Sew 'em Back Up
First, sew between the outer shell and lining, a line across the diameter of the speaker. Then, sew another diameter perpendicular to the first. you may want to make sure both stitches are on the inside for aesthetic purposes.
Next make stitches between the outer and inner parts of the hat, around the circumference of the speaker, holding it in place. If you are sewing the side with the incision, it is possible to sew it closed with the same stitches that will hold the speaker in place.
Repeat the process with the other speaker.
When done with stitching the speakers, it may be a good idea to stitch the wires out of the way.
put on your hat and your coat, you can now listen to your indy music out in the cold without fussing with headphones.