What are you plugging your headphones into? Like corkyg said, the best idea will probably be an input selector switch/box.
I took this into consideration when I was building my headphone amp - I was planning on using a USB DAC (grubDAC, to be exact) but I didn't want Windows to see the DAC at all times, so I installed a power switch on the DAC. When I want to use my amp I flip the switch to turn on the DAC, which defaults to the primary sound output device in Windows (when it's disconnected, the primary goes back to being the X-Fi, to which my speakers are connected). The system works pretty well, except sometimes I have to restart or reset an application to get it to output to the right device. Foobar makes me stop the song and restart it, CS:S lets me redetect audio devices, Firefox/Youtube is a little wonky in that I have to restart firefox sometimes...