I usually simple butterfly coil w/ wrap finish around my index + ring ringers. There's a bunch of different approaches people use; the general ideas of not introducing twists (not a big deal for short cables) and finishing with a wrap are more important than any One True Way.
Specific to headphones and other cords: avoid introducing sharp bends as well -- cheap cords will eventually short out. (For me, I try to have a fairly fat "bundle" before I do the wrap, and don't pull it too tight.)
Also helpful in everyday life are coiling / stacking skills you pick up when working with rope. For example, my headphone cords are never tangled. ;)