A standard balanced line for one channel is 3 conductors: +, - and ground (shield).
Shielding a headphone cable is pretty pointless unless it's a couple hundred feet long and hanging in a coil next to an AM radio transmitter, so you really only need two conductors per channel: + and -.
A 4-pin XLR is less bulk than two 3-pin XLRs. 3-pin XLR plugs are more readily available and can be had cheaper or a wider range of blingy styles. Use whatever works.