You can convert over-the-ear wired headphones into headset by purchasing Seidio's Retractable Audio Adapter. Assuming you have the 8830 model, you need this one:
Retractable Audio Adapter - 2.5mm Male to 3.5mm Female
It took me months to figure this out as I was initially asking the same question you were and kept running into dead ends.
I personally have the 8320 so I have a 3.5mm to 3.5mm version of the retractable adapter and it's working fine for me with my Sennheiser HD485 earphones.
Note however that if the purpose is to use at the Gym, you may find your ears are getting quite hot. I use these for going on walks in sub 70 degree whether. Above 80 degrees it's very uncomfortable and I can't imagine exercising with these. So you'll want to get headphones that are renowned for not getting warm on the ears.