I understand your angst! We all want to create the best sound possible for the money (and I have learned truly great sound isn't related to $$$ spent...there are great products at a great price).
I too have searched and read and read and read on this.
Here is what I have gleaned from my reading...differences are in fact there by going with after market cables. But the differences are just that, subtle adjustments to the sound. Cables aren't fixes for more bass or treble or sound staging or detail. They are simply changes on what you have.
So, my thoughts on changing headphone cables is that you should first have a full knowledge of your system i.e., no components should be new and need break-in, adjustment to sound etc.
Once you are really happy with your whole system, then tweak from there.
Hope this helps. I have been through this with speaker cables and interconnects and digital cables and I know that it does make a real difference in a speaker set-up. Seemingly less in a head-phone set-up.
Good luck in your search!