A-B testing of cables

I recently attended The Show in Newport Beach California, and I asked some experts how to upgrade my cables gradually. I was told to start at the source. I should upgrade the source interconnect first then gradually work my way through the system, and I should hear the difference at each stage providing I am using audiophile quality cables; so I bought some cables at over $600 a pair to try out. My current cables cost $250 a pair.
My system is composed of:
McIntosh C2500 preamp
McIntosh 601 mono blocks
McIntosh mcd 205 CD player
VPI Classic 3 turntable
Nola Baby Grand speakers

I bought two y adapters and connected one pair of new cable and old cable between the CD player and preamp to do an A-B test. I also performed the same test with the turntable but I could not tell the difference between the cables whatsoever. I was very surprised and disappointed at the same time. I could not believe it so I called in others to have a listen whithout telling them what I was doing and they too could not tell the difference.

Has anyone else tried this test? I would like to hear your results.
Am I doing something wrong?

What is your experience in doing A-B testing of interconnects?