I work mainly as a spatial audio recordist and designer and have done this exact thing on many projects over the years (as well as ambisonics and other spatial audio shenanigans). I own the 4560 binaural headset as well, but, a pair of 4060’s is actually more versatile so I mostly take those for binaural in-ear recordings. The capsules are the same anyway. I spoke to DPA about this a few years ago. You don’t need to complicate it with wire. Just pick up some silicone ear hooks (the kind that hold the cable of in-ear headphones in place over the ear). Then use the foam windscreen around the mics to keep the capsules in place at the entrance to your ear canals. You don’t need to go far into your ear canals as that part of the head related transfer function will be added by the listener via on-ear, over-ear and most types of in-ear headphones anyway 😉 Technically, you should have the diaphragm element (if you take off the mic grids, the side with the holes) of both DPA’s facing outwards, but, in practice, it works fine to just put them in place in whatever orientation, so long as they stay in place and are equally arranged in both ears. You can use some tape instead of ear hooks and also some tape to secure the cable on your neck if you want. Last tip: they look ridiculous but pick up (or make) something like a pair of the ear-muff type Soundman windscreens (for their OKM binaural microphones) as other types of wind protection don’t give you enough dead air combined with a secure fit.
As for speaker playback of binaural: I like it and think it has more depth than stereo, but, I know this is contentious! You could use an ambisonic microphone instead and decode for both binaural for headphones and stereo for speaker playback. But, it depends on where you want the greatest effect. Direct binaural recording is still more immersive than binaurally-decoded ambisonic, unless you include headtracking.