Yes.

I know the manual specifically says not to plug speakers or headphones directly into the player's outputs. But you can do it. Here's the situation:

The player does not have any amplified outputs. It has only line-level outputs. Line-level outputs cannot drive speakers, there's just not enough juice to move the speaker cones.

But if you use really small headphones with tiny drivers, such as the tiny in-ear headphones, then they hardly require any juice at all to work. So you'll actually be able to hear them that way. Perhaps not at a very high volume, but they'll work. If you create a special EQ preset just for headphone listening, you can even get them sounding fairly decent.

You need an adapter cable to do this, of course. Depending on what your local stereo store has in stock, you might need to get more than one adapter and daisy-chain them together to get the proper combination of male and female connectors to plug your headphones into the player. The final assembly needs a female 1/8" stereo jack at one end (for the headphones to plug into), and a stereo pair of male RCA jacks at the other.