So I think the way this works is that it uses the ground wire of the headphone as an antennae. I think Xin had something about this, where you attach a wire to the sleeve of the plug, to increase reception. You might want to try that.
it is, at the bottom of the page.
I wonder how much worse the reception would be if you ran it along (or spiraling along) the headphone cord. Perhaps you could run it strait up the cord, and use some headshrink tubing to hold it in place. the other end could be free (i.e. mechanical connection only) so you could just bend the wire back when it caused the phones to not fit in a particular jack.
If I remember anything from my father's ham radio he uses for hangliding, it's beneficial to have the antenna up and down, as the radio waves are transmitted as such. Wait, I don't remember. I think it depends. (FM vs AM and such). Ooh, it's been a while since physics. I'll just sit back and see what others say.