If you'd like to have an inexpensive mount for your headphones, say on the wall by your desk or perhaps by your bed, you can use a $2.50 Ikea Capita bed leg.
IKEA fan site IKEA Hackers shows how you can mount the bed leg to the wall as is, cut down the 4" length to something smaller if you like, and/or paint the leg to match your decor. If you buy the legs online, they come in a 4 pack for $10, but you can usually get individual parts at an IKEA store if you have one nearby.
If you'd like to mount the headphone rack on your desk instead, check out this post on a similar DIY IKEA headphone stand that uses a different IKEA donor part.
Headset Wall Mount | IKEA Hackers