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I'd suggest using a Nokia AD-15 which allows you to use and headphones that you choose provided they are fitted with a 3.5mm stereo mini-jack and that's about any set of headphones these days!
On the down side, the AD-15 does not allow hands free operation its purely for MP3 music playback. On the plus side, you get to use any headphones you choose and not have to suffer the Nokia headphones that drop out of your ears every time you move.
If you get any problems trying to find the AD-15 let me know as I have in stock here. Most decent Nokia outlets should stock them!