If your office desk is in a man cave or somewhere that can handle a bit of industrial look, you can use woodworking spring clamps clamped to the edge of a bookshelf. You can get them cheap at Home Depot or your local hardware store. Clamp them to a shelf and hang the headphones on the handle. Quick and cheap. And when they're not holding headphones they can be used for DIY projects.
Here's a pic of one:
The office is a shared room with the wife, so I think I'll have to avoid this one