A nice stereo system you've purchased... and under $400!
My system has some similarities to yours. I have a NAD C 320BEE integrated amp, and a Little Dot MK III. I also run my source through the LD then the NAD. I notice greater refinement and definition of sound. Sounds seem to have more roundness and smoothness. It also warms the sound and gives bass more impact.
Anyways, there is no need to hook your headphones through your NAD when you can hook it directly to the Little Dot. Is there a reason why you would do this? I've tried doing both in my system and as far as I can tell, listening through the LD is much better than the NAD. The sound is louder, fuller, and doesn't sound recessed. Maybe it's because the extra connections that causes sound quality to diminish when listening through the amp's headphone jack. You can try both and see which one sounds better for you.