We've shared more than a few waysto conveniently hangyour headphones at your desk, but if you want an easy under-desk solution that won't get in the way and doesn't take up much space, an IKEA GRUNDTAL toilet roll hook is a good option. Plus, it's cheap -- only six bucks.
The hook itself is affordable, and while you can't buy it online, it's easily available at any IKEA store. Just screw it into the bottom of your desk where you want to hang your headphones, and you're all set. You could screw it into the wall too, but the beauty of this solution is that it works well when it's out of sight, and isn't an eyesore underneath your desk.
Of course, if you can't make permanent modifications to your desk -- say, at the office -- you could always use a pair of binder clips instead. Hit the link below to read more.
Grundtal Headphone Hanger [IKEA Hackers]