Yeah, you can use headphones. Once plugged into the microphone socket, you should use the left speaker to talk into. If it doesn't work, then maybe there's something wrong with your socket and/or headphones themselves. Also, check your microphone is enabled in the Windows Volume Mixer.
I tried that once, I couldn't get it to work either. It should work as TMT says, I am sure. In high school physics class we hooked a speaker woofer to a oscilloscope. when we talked into the speaker it was outputting something on the display. Let me know if you get it to work.