The place I had my MRI had no headsets. The procedure is very noisy, they gave me earplugs but still noisy. I close my eyes before they slide me into the tube and just think about pleasant things and not think about being in the small tube. At my head it blew in cool air and that helped. They do have an open MRI at some places, might want to try it if you are very claustrophobic.

A lavender scented blindfold, a Valium, plus a headset with music helped me get through my MRI. When the technician would tell me how long it would be I would count down the time to the beats of the music, and pretty soon it was over. Yes, I have really bad anxiety but don't take medicines for it, due to a genetic condition I have to have 3 MRIs a year, so I do what I have to do to get through it.