Headphone Jack Adapter
The WonderSwan series of devices do not come with a headphone jack. Similar to the Game Boy Advance SP, a headphone jack is added by attaching an adapter to the extension port; however, their design is more complex as the headphone adapter also includes the digital-analog converter and amplification circuit. During the console's lifespan, one was produced and sold by Bandai, both separately and in bundles with certain games. There were also a few third party adapters produced. Unfortunately these OEM and third party adapters are all extremely limited in number, so they can be quite pricey to purchase if you can even find them in the first place.
DIY projects
wsHeadphone
The wsheadphone is an open hardware headphone adapter for the WonderSwan by zwenergy. It uses an HDMI plug and 3D printed adapter for a connector replacement.
WSMtool
An expanded version of the wsheadphone, the WSMtool by zwenergy also allows usage as a link cable and USB serial adapter (with additional daughterboards).
Products
WonderBeat 9480
The WonderBeat 9480 is a fully assembled headphone adapter produced by the same people who make the Flash Masta flash cart. Probably the cheapest option outside of assembling one yourself, you can save even more purchasing it bundled with the Flash Masta.
WonderPhone
WonderPhone is a plug-in adapter that adds a 3.5mm jack and volume wheel. There is also a 3D printed shell that can be found here.