Apparently, there is such a thing for headphones. While I was in college for the Recording Industry, I bought a pair of Sennheiser HD650's (Amazing HP's btw) and the professor told us to take around 24 hours worth of playlist and just jam music through them. He explained why, but to save me from typing it out, I found a link for you explaining every probable question about headphone burn in.
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More than a burn-in time, it would help if you passively listen to a variety of music (lower levels works for me) so that your ear/brains get used to the sound. Or burn them in as you listen to them!
I have a pair of the HFI 450's and when I got them, I too found that they were a tad tinny and heavy on the lows. In the past, I have always used new headphones in the environments I want to record in and break them in as an experiment. They do change and now my 450's sound a lot better.