It's not only possible, it's necessary to make sure you get good sound. ALWAYS use headphones when recording important sound, ALWAYS. The meters on the display can look perfectly all right and you still get bad sound.
If you have no luck, try plugging a pair of computer speakers into the camera and see if they work after you have adjusted the headphone volume on the camera.
Are you getting levels? What kind of headphones are you using? Try using different headphones and see if you can hear. If not your mic input is jacked! or maybe not..