The input impedence of headphones is generally between 32 and 600 ohms. The input impedence of an amp is usually 50000 to 100000 ohms, though they sometimes dip down to 10000.
To determine the size of output cap you need, use
C = 1/(2 * pi * Hz * R)
where C is the capacitance and Hz is the 3dB corner frequency and R is the impedence the amp sees. Don't forget that there is a resistor from out to ground, so the cap sees this resistor in parallel with the input impedence. Also, for the corner frequency, there are phase distortions for frequencies about 10X higher than the 3db point, so people generally use 2Hz as a good point, though a bit higher is also fine. Also, some feel that it is better to use a higher qualty cap with a higher 3dB than a lower quality with a lower. So, if a 4uF MKP and a 1uF FKP are the same price, you might do better with the FKP.
On the output of the Millet amp, you'll notice that Pete uses a 1K resistor while most preamps use a 50K. This is because the 1K makes no difference to a 32 ohm load, but when paralleled with a 50K input impedence it would greatly influence the choice of cap.
So, your 10uF cap is a little large, but does not hurt anything. 4.7uF is a good safe value, though it is also generally larger than you need.
Last, paralleling caps can cause problems since the caps fire at different speeds so you get weird phase issues. It is sometimes worth it to use a very high quality cap for the small one, but if the small one is not a lot better, it probably does more harm than good. Your DAC will probably sound a bit better if you take out the .56uF cap and just use the 10uF (unless the .56 is one of the new solen teflon caps.)