You're fine. When amps turn on there's a delay between the time power is switched on and the power supply caps are charged enough to do anything. If you hear a click after turn-on that's a relay protecting speakers while the power supply gets charged and stable. The relay also protects against turn-on thump. In amps that don't have a relay its usually because they don't thump, but come up to power gradually. A lot of tube amps are like this.
A pre-amp is of course also an amp, and so does all the same things just at a lower voltage/power level.
What you don't want is to turn the amp on, wait long enough for it to be fully on, and then turn on the pre-amp. This will almost certainly create some kind of obnoxious noise.
Now about those obnoxious noises. The thump, while it sounds (and probably looks) horrible is not actually damaging anything. How could it? Only if the amp is far too powerful for the speakers. Otherwise, nothing the amp can do in the fraction of a second we're talking about can come even close to what you can do playing music super loud for hour after hour. Its yet another case of irrational audiophile fears. This is all etiquette we're talking about here. Don't be That Guy. Turn em on like you're doing, no thump, no worries, all is fine.
