What is the best way to connect headphones when using a blu ray player and tv?

Depends on lots of things. If you have a modern TV then the bluray player can connect to the TV via an HDMI cable and then will send the audio and the video. Then the TV will have an audio output. Either through its built in speakers, the 3.5mm audio jack in the back, the optical connector on the back, or some TV's have bluetooth that supports the audio protocol.

With a bluetooth enabled TV, just pair and be done with it.

With a TV with the audio jack output, connect a generic bluetooth adapter to the output and pair with that. This is my favourite solution because you can split the connection and send the signal into the bluetooth adapter AND to another source like an external speaker. When you want normal audio to fill the room, just don't have the headphones on. When you want just headphones, turn off the external speakers. When you want both, just have both. Nothing special required, no settings to mess with, no menus. You select with doing.

Get a set of wireless (not Bluetooth) headphones such as those from Sennheiser.