People's discarded headphones can be a source of your transducers.
It is possible to make headphones from small speakers such as found in transistor radios. Quality will not be as good, naturally.
To make the headphones grip your head, it's a good idea to build it around a springy band. (Earmuffs might contain a suitable steel band.)
As for the wiring, it can be telephone cord. 4 conductor. Easy to work with.
Split the cord below your chin. Two wires go to each earcup.
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If you're looking for inexpensive headphones...
Most people are unable to repair headphones, yet they are so easy to break, at several points. With care they normally operate for years, but a moment's carelessness can rip away a wire. Often only one side works after that.
So, if you were to ask the proper way, people might give you half-broken headphones. Perhaps you should be polite and offer money first, on the chance they will answer, 'No, take them, free.'
Find the break in the wire... fix it... and you've got working headphones.
You might become good enough that you can offer to fix people's headphones, for a small price.