Adding a headphone jack to furniture
Perhaps the simplest option is to use a headphone extension cord.  You can secure one end to the desk using a couple of cable ties that form an X over the top of the extension cord end.  Or you could use a screw-mount cable tie, or a normal cable tie along with a cable tie mount.

If cable ties aren't your thing, you could buy a panel mount headphone jack and install it in a small box, such as a mint tin, which you can screw to the desk leg.