Quite honestly, you can feel free to wrap the cable around the device, as long as you (a) ensure you're doing so loosely and uniformly (so as not to stretch or twist the cable too much) and (b) pay special attention to stay loose near the jack (so as not to detach it inadvertently). If the sleeve near the plug in is bending, you're doing it too tightly.

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I agree with Matt, I have recently been using the "AppleCore"http://www.AppleCore.com for all my cables. It comes in three sizes for different types and sizes of cables. The small one works perfect for my headphones and I have found I can keep it attached to the cord while in use to pick up any extra slack in the cable.

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wrap them around your hand then throw them in your pocket, they will always get tangled but its a question of how tangled they are.

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I keep my Seinheiser buds in a circular mint case. Loosely wrap them around your fingers, slip them off, and drop them in. You can use 3 or 4 fingers depending on how big the tin is. They might end up a little tangled, but there's no strain and they're just short off bullet-proof.

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Temple Bags makes a nice case for your headphones.

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