How to connect headphone amp when system has separate transport and DAC?

Your transport connects to your one of your DACs inputs. Regardless of type of connector, it will be a single cable. It sounds like you have connected your Transport to the DACs unbalanced outputs. The signal goes from the transport to the DAC, hence the transport is connected to one of the DACs inputs.

Looks like you have BNC connector on your DAC, so you need to get an adapter or a new coax cable with one end BNC and the other RCA. 

Your headphone amp connects to your DAC’s outputs. You probably have at least one pair of unbalanced (RCA) output terminals. The connection between the DAC and headphone amp will require two cables.

Why don’t you just use the RCA output on your DAC? Why do you want to use the XLR output? 

What transport do you have Stuart? 

My bad, I wasn't aware that you had a second amp consuming the RCA outs. I thought you were doing headphones only. 

After the Neutrik adaptor debacle, I decided get my A. Zen Silver Reference IC's reterminated with XLR's on one end.

While this is more expensive than most (but not all) adaptors, I see it as an approach that's less likely to compromise the sonic perfromance of the IC's, compared to an adaptor

Agreed, it should be much better sonically than both adapter and Y splitter.