Dragon's headphone design tends to vary from kit to kit, but they all include the same fret of etch from the 6053 kit. For the past 20-some years, they've continued to recycle the same piece without clarifying their instructions.
Essentially, it boils down to curving the pieces to fit over the head or around the throat. Annealing the metal helps take the spring tension out of the piece and allows you to bend it over a suitably sized cylinder, like a knife handle or a bit of brass rod. Once you get the curve in, you'll find little lugs on the sides of the plastic headphones which mate into a slot on either end of the band. Pop them into place, glue them down, and detail the headset as you see fit with bits of wire and stretched sprue. When you're ready, install the throat mics around the neck and then install the headphones as you wish.