Do you have to break in headphones?

Not necessarily. It's true that almost all mechanical devices can benefit from a "break-in" period where they get used often for a short period of time. But the truth is, once you use your headphones for about 50 hours or so, they'll be good to go. You don't really need to have music continuously play through them for a full 50 hours to improve the sound quality. However, it also doesn't hurt anything, so if you think it helps, go for it! If the manufacturer recommends that you break them in, then follow their directions to help improve the performance of your headphones.