All you need is an existing cheap pair of protective headphones, and a scrap set of audio headphones. I used a pair I got from Jet Blue, but any old pair you might have around will do. You can wire the speakers into your headphones and your good to go. The basic conversion is trivial, but I include some tips/photos about making it look a bit more like a professional set.
Let me put a disclaimer in here. You're modifying the protective headphones, so they may be slightly less good at hearing protection after this. There are some small holes for wires passing though the foam/outer shell. So this might not be a good thing to do for headphones used for super high noise levels like shooting ranges or lots of work with jet engines. However they still seem to work very well for table saw/weed whacker level noise.
The second warning is that this adds a dangling cord to your headphones. (Which might get pulled into machinery, etc.) I considered putting an 1/8" jack into the headphones and only using a patch cord to wire them into my iPod so I could have the wire out for normal use, but I discovered:
1) super cheap/free headphone wires are amazingly weak, so the cable is unlikely
to pull me in it'll just break.
2) I can just have different protective phones around for when I do operations with
more danger of being pulled in.
So I decided not to bother with the 1/8" jack since that was going to be more damage to the foam inside the headphones.
Alright. Enough with the disclaimers. Lets get on to making the headphones.