First things first:
1) I do believe sound changes after some use, especially in the bass departament.
2) I do agree that most of the effects of burn-in are mostly psychological.
In speakers, though, change is more noticeable, but here we are talking about the tiny drivers of headphones.
For peace-of-mind's sake I DO break-in (burn-in, whatever) my headphones. What I do is let the following track list repeat for some hours:
1) 10 seconds 10-20khz sweep.
2) 10 seconds 20-200hz sweep.
3) 50 seconds of heavy drums.
4) 60 seconds of pink noise.
5) 60 seconds of digital silence.
6) 60 seconds of white noise.
The digital silence is intended to give the drivers some rest.
If you follow my procedure, you'll acheive a 23.4% - 24.752% improvement in your overall sound (patent pending).
Naaaah just kidding. Add some brown noise to my list if you want. Or start the sweep from 0hz, I'm sure that'll give you a 0.01% improvement in the same ammount of time. Just kidding again, go ahead and have a blast with burn in, just don't pump up the volume so much.