I have had two sets of wireless headphones and this is what I've discovered....
The first set was a fairly cheap one from Radio Shack. ($19.99 I think) The headphones were rather large, and felt bulky on my head. The foam earpieces got sweaty when I worked out or ran on my treadmill. I definitely would not recommend these in terms of comfort.
The second set I tried was made by "Jensen" and I bought them at Best Buy. They were different from the traditional headphones in that you wore a small (size of a pack of playing cards) receiver on your waist band that connected to a set of earbuds with a wire. These were great! The earbuds were so lightweight and comfortable that I couldn't even tell I was wearing them. The receiver that clipped to my waistband was light enough to not be a problem either.
I no longer have the Jensen set and to my dismay I cannot find it anywhere. I fear it has been discontinued. I tried a google search and found one on eBay a while back, but it was going for over $100. I think I originally paid about $70.
My advice, if you can find a set like the Jensens, go for it. If it's the traditional headphones like I described above, I don't think you'll be happy.