My first detector was an underwater machine and I had to use the headphones... Now I always use them, regardless. However, I don't use the typical "earmuff" style headphone. I prefer the small earbud style. I bought the 3.5mm to 5mm? jack at radioshack, and use my sony, amplified, noise cancelling earbuds, They are far more comfortable, lighter, and I can still wear a hat without interference. lol
Always wear the phones. First, you'll hear things you wouldn't hear with just the speakers, and second, if you're on the beach, you won't be annoying other people with the noise, or have a group of kids following you begging to see every little think you find. Although... they never seem to get tired of seeing another pulltab...
steve