You are probably not wasting your time. It's just that you haven't found the right dac yet.
I myself do not own an external dac yet (will own one soon). But I do know how my different sources do sound in comparision and how much better some are.
In my computer I have a Creative x-fi gamer soundcard. My mainboard has the newest Realktek 1155 sound chip. I have often read that the Realteak dac part is better than any Creative or Asus soundcard. The X-fi card is now about 8 years old and yes the current realtek chip wins in digital to analogue conversion. It is not much better, but I would consider it as an defenitive improvement.
Now the comparision between the onboard soundcard and my 25 years old cd player by Toshiba. This unit has a nice discrete build up and some weight (around 7kg). Did cost 1000 german mark back then, converted it's around 2000€. This is tons better, everything, really everything sounds better a lot. More details, clarity, more airy, bigger stage, goes lower and higher and sounds more neutral. I'am not talking about something subtle, it is really a night and day difference.
The da conversion does seem to be very important and can make a huge difference, I know that now. I'am not shure how revealing my amp or headphones are, I know that the amp is considered as being very neutral. It seems to be more then good enough to show differences between sources.
But since I haven't heard any external dac yet, I can't comment on when it's starts to get interesing. With the end of may, I will buy myself an Audio GD NFB-1.