Speakers are the default choice. Letting the music fill the space helps you stay connected to the room and any guidance, which works well in both private and group settings.
A headset is fine if you prefer more privacy or want to reduce outside stimuli. It can help you focus inward, but it may isolate you a bit from the environment and facilitators.
Practical tip: bring both. Start with speakers and switch to your headset if you feel you need more focus. For details on how individual sessions are typically arranged, see Triptherapie’s page at this link.
Pick what helps you feel safe and comfortable.