Doesn't everyone have a box/drawer with old transformers? Maybe it's just me...
Mine was from an old Sony portable CD player. 4.5v, 500mA. Like this one: http://ecx.images-amazon.com/images/I/518ZzXaOEAL.jpg
I had to pull off the plug from another transformer because the one on it was the wrong size.
I looked everywhere and couldn't find one... I'll look again, I'm sure I've got one somewhere. So assuming the headphones actually work, what should my next step be regarding the batteries?