Here's what you need:
a tennis ball
an old set of crappy, broken headphones (speakers and wire still intact)
a hot glue gun
a metal clothes hanger
some sort of cloth (the softer the better, but not too thick)
Step 1: Cutting the Tennis Ball and Sizing the Speakers
Once you half your two tennis ball halves, you'll probably want to make a notch near the bottom of each (for the speaker wires). I used my pocket knife to do this step.
Now you have to make sure your headphone speakers will fit into the tennis ball halves. You can do this one of two ways. I simply left my speakers in their case and sawed off the part that connects them (see picture), but you could also just take the speakers out of the case (if you do this, the speakers will be smaller and will sit farther back in the tennis ball; the speakers will be farther away from your ears).