I believe the Modi comes with a USB cable. If you were to get the Magni, yes, you would need RCA interconnects. As many others here, I recommend Monoprice as an inexpensive, quality solution.
Now, on to using just the Modi. Someone will probable have to correct me on this, but I would not recommend driving headphones straight out of the Modi. Because the Modi has a specific amount of voltage and current it's outputting, it will most likely either provide too little power for your headphones (making them sound quiet or crappy) OR provide too much power, making them blaring loud and potentially damaging the drivers. It's the DAC's job to convert the audio to analog, and the amp's job to drive the headphones.
The Modi does not come with a USB cable.