of your choice. I assume the larger the diameter the less prone it is to flexing and therefore tangles/knots, but there isn't any significant diameter variety.
• Sacrificial earphones or earbuds with a cord thin enough to be easily thread through the outer jacket of paracord. The ones used here are Sennheiser CX55 In-Ear Headphones.
• Heat Shrink Tubing of various diameters
• Electrical Tape; depending on your earphone design you may have to tape the ends so that the heatshrink tube does its job of holding onto something with the paracord in place.
EDIT: Actually, super glue is more effective than tape. After a few months tape will tend to fail. I guess some sort of plastic cement might work, too.
• Small alligator clip (optional). I recommend clipping the cord to a shirt so that the headset remains in the ears and the cords freely contacting only air, despite whatever odd looks you may get from onlookers.
• scissors or knife
• wire cutters/strippers
• lighter (preferably a butane, torch type)
• soldering iron, flux, solder