My headphone set doesn't play any sound After plugging in my headphone into my iphone 4s no sound comes through. I can
hear the music from the phone itself. Do I need to change the settings?
I had the same issue with a 4 and a 3GS, the solution? it was dust, I had to use a pin to get dust out, after that it worked. 

If that is not the issue, try using the headphones in another device. Also try using other headphones in the iPhone.