Step 1: The ingredients
2. iPod shuffle, or other light-weight music player. The shuffle claims to weigh 0.78 ounce (I didn't weigh mine). Substitute a heavier player at your own risk-- of headache.
3. An inch or so of Velcro (not shown, yet).
4. Implicitly, you will also need a soldering iron, shrink wrap, wire cutters, and so forth. If you aren't comfortable with these, maybe it's time to go shopping for a nice new set of wireless headphones!