I don't know what to tell you. I haven't experimented on headphones yet.
Were I to do so I might first try a mini plug Wye adapter with one of the loops connected to the common ground plug of another plug and inserted into the adapter. If the audible benefits seemed noticeable you could then proceed.
As an aside, using them for phono cartridges, guitar amp pickups and tape deck heads is useful, but the loop size gets cut in half as does the dielectric material added to the wire, at least with the Litz that I use.