How to connect Discman to amplifier?

Hey there!
I recently purchased a TEAC integrated stereo amplifier.
I plan to hook it up to my Sony Discman.
The question is: should I connect the Discman through it's "line out" or through the "headphone out"?

I noticed that if I connect it to the headphone out, then I can control the bass from the bass controls on the Discman itself - this coupled with the bass control on the amplifiers results in even more bass from the speakers.
is this safe?

Does it have anything to do with this switch on the amp labelled "Source Direct"?

Please help.
Muchos Gracias.

Prescot