I always have my tunes on when I practice, and I practice a few times a week. I keep my iPhone in my back pocket and run the headphones under my shirt through the back and the wear them backwards. This way they are 100% out of the way.
I am lucky to have a great short game practice area and never really hit shots at the range. I can hit up to 140 yard shots in this short game area so I relly on my feel more than the sound. Listening to tunes actually helps keep me focused and when I am on the course and hear little sounds here and there I never get distracted anymore. Also, if I am having a bad day on the course, I can think of a good song I usually have in a play list and it helps to put me in a more relaxed frame of mind and hit easy shots.
Listening to music while I play is one of the best things I have done for my game in the past year and the results are clear as I have gone from a 12 to a 7 this summer.