I would actually twist the argument on its head and say cable modification/choice should be the FIRST thing you do - because otherwise you are not accurately *hearing* the HD800s or your source or your amp. This goes for all cables - power, interconnect, umbilical - not just headphone cables. Once you have found the most revealing cables you can find (to your years) - and they form a synergy across your entire playback chain - then and only then can you swap components in and out and hear them and judge them and decide which to keep. I'm sorry but if you're running muddy, smearing, compressing cables from the fanciest amp and source in town into your HD800s, the music you hear is going to be plagued by issues that have NOTHING to do with any of the components and you are going to make inaccurate assumptions and choices about the recording and the entire playback chain.
On the subject of mods, I can only give my most enthusiastic endorsement to Stefan Audio Art's current HD800 modifications, which involve removal of key resonating surfaces within the headphone assembly as well as hard-wiring of their cable directly to the driver. I'm surprised no one here is talking about the effect of Senn's crappy connectors on the sound of the phones.