Balanced headphone cables - and adapter?

[JemHayward]

My son managed to break the cable on my Sennheiser HD600 headphones, some time ago. I'd not done anything about it (apart from buying him some excellent Behringers so he didn't have to use mine). My wife now wants to use them with her Clavinova, so we need a cable. I very rarely use headphones now, but I may, one day, have a DAC with a balanced headphone output, so I was wondering what advantage balanced operation has with headphones? If I buy (or make) some balanced cables for my 'phones, I assume I could then make an adapter to common the -ve to connect it to my conventional headphone output, and the piano etc.

So, is it worth going balanced?
If I make my own lead(s) what sort of cable / connectors etc?