There is no cheap solution when it comes to headphones or IEM's. Repeat after me:
"There is no cheap solution."
By the time you experiment with various "cheap" solutions you will have spent just as much money as one of the proper solutions and endured a lot of frustration on the way.
Here is a link to the 'phones I use:http://www.gk-music.com/ultraphones.htm
If you click on the "home" tab on Gordy's site you'll get an idea of who uses these and why.
The salient point here is ISOLATION. The material in the cans will be severely compromised by any leakage from the stage sound and just turning it up will destroy the users ears.
Whether you use isolation headphones or IEM's, your success will depend on the mix. This gets into the area of art as do most critical technical matters. The usual approach is a stereo mix with some "ambient" sound mixed in so it will have a more natural sound. But none of this works as well as it should without ISOLATION.
Did I mention isolation?????