But never fear: there is a better way. Here's my patent method:
Just put it behind you. And if you're walking about, up your shirt as well.
Instead of having the wire in front of you, in your way, it goes behind you, out of your way. The earplugs go over each shoulder, and when you want to take them out you can just drop them and they'll stay there. If you have one of those adjustable slidy things on the bit where the wires separate, it's best to leave it down while you put them on, then slide it up until you just have a comfortable amount of slack even when you turn your head.
If you're sitting at a computer or whatever, that's it. And if you get up for anything, unplug from the computer and take the headphones with you. It;s easier than getting them comfrtablesettled again.
If you're going out plugged into your iPod etc, run the wire down the inside of your jumper or shirt so it won't get caught on anything. Best way is to drop the whole thing down the back of your neck, keeping back the earplug end, and wriggle until it falls out the bottom. If possible, put the device in a pocket on your top, not your trousers: this is much easier if at some point you need to go to the loo.
One thing to note is that it's harder for people to tell that you're wearing headphones - if, like me, your hair covers your ears, you can't tell at all. This might be useful (if you're not supposed to be wearing them!), or it might not. If you would like to be left alone, you want people to notice the 'phones, and if you're doing an a crapela version of your favourite song, you look even more crazy/annoying.