Yes. As long as your headphone amp has volume that is exactly the way to do it.
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Don't know cheap, but Shure SE535 are really quite good for about $350. If it helps, they are so easy to drive you could run them right off your line out with only a trim pot for a volume control. A trim pot is just a variable resistor.
As long as you don't care about looks you could get by with maybe $10 worth of trim pot, plug, jack, and wire. Maybe another $10 for a box. SE535 has a solid 20dB isolation too.