IR would mean line of sight i.e. you will need to have a clear path between you and the transmitter.So,you won't get any signal if you move to a different room.With cheap IR headphones,moving around in the same room too is a challenge.
RF based headphones are costly. Sony has a model which costs something around Rs 4K. I think Panasonic/Philips has a RF model for around Rs 1.5K. I had seen some in Landmark@Forum Bangalore.