As the Lyr is a hybrid, I am quite sure the volume control is located after the tubes, just before the SS stage. That is, the tubes are always running flat out, regardless of the volume control, so the level doesn't really matter. It is best to feed the tubes a full-spectrum signal to "exercise" them properly. I also recommend burning them in with in a very cheap set of IEM's on the chance the tubes might arc and short out, although damage to the headphones is very unlikely, given the Lyr's protection circuits.
Further, I always unplugging the headphones before turning the amp off, and only reinsert the plug a minute of so after the amp is turned on to give the tubes a chance to stabilize. This is likely overkill, given the Lyr's protection circuitry, but still, a very good habit to develop when using tube-based equipment.
a lesson learned from my hi-fi days, i'm turn the amp on first, and turn it off last