RCA to XLR? Do I need to do this?

Since the preamp is single-ended, there won't be any benefit to using the XLR connection. If you ever get a balanced preamp, you may find that a whole world of resolution opens up for you :)

RCA to RCA

Use RCA to RCA cable, using RCA to XLR would make no sense even if compatible, I guess.

You shouldn't use an RCA to XLR cable unless you know that it's going to be compatible, which you could confirm by asking the manufacturers.

Marantz RCA OUT to Krell RCA IN

Single ended cable (unbalanced)

I am a new audiophile as well. I was told (here) that there is no real advantage to XLR over RCA if the components in question are not truly 'balanced'.

And to be honest, even though I understand the concept of a balanced system it is still not clear to me how much of a sound quality advantage there is.

My amp and pre-amp are balanced and have expensive XLR cables. They are both capable of using RCA as well. I guess I could compare the difference but haven't ever felt the need.

I would PM Ralph Karsten (atmasphere), and get his take on this.
He knows this stuff inside and out.
Bob