How does a Headphone amp work . Where to start ?

Headphone amp usually connects to the player directly, or through loop out.

If you have not done it yet, checking head-fi might be a good start;
http://www5.head-fi.org/forums/index.php?

Instead of spending $3k on headphone amp and headphones you may get AKG-K1000 ones that connect directly to an amplifier at speaker binding posts for $1k+.

Another option is Stax Lambda phones with Stax SRM-2 driver that connects to either line output of any component or preamp(use tape output).

The most trivial combo with conventional connection I'd choose AKG-K240(arround $250) with Headroom Max amplifier will also keep you arround $1k.

The above options will certainly give you much more music than $30k speakers with $20k amplifier(s) for shure.

yes...I've been using akg 1000 with 805 cary monoblocks....sonic bliss