Headphones won't drain your batteries in that sense, depending on the ipod, it'll most likely be random (hdd access + various folders = higher usage) or sound check or stuff like that.
I have three sets of listening thingies, my pioneer SE-M280 studio monitors, some stock wrap arounds, and the stock ipod earphones, depending on what i'm doing usually i'll have the wrap arounds, but if i'm going/coming from music, then i'll probably have the pioneers