Seems like you received your pico slim already. I can't wait for a shoot out between your portable amps.
Yes, the Stepdance is an absolutely fantastic amp. I used it with my LCD-2 when I don't want to move around and it does an admirable job. Of course, it does well with my IEMs.
On the battery front...the 9.6V batteries are not worth it IMO as they don't last all that long vs. the higher mAh batteries. The only difference is the volume needs to be a little louder with the lower V, higher mAh batteries to acheive the same spl.