Some people would argue that burning headphones in doesn't just burn in the drivers, it's burning in your ears and getting them used to the sound as well, which is why burning them in at the factory wouldn't be as effective. There's also money to think about.
I'm sorry, but I would disagree about "burning in your ears". If you have a burning in your ears, you might want to get that checked. Anti-biotics may do the trick. I have tinnitus and hearing loss in my left ear, ears don't break in. They BREAK.
"As any mechanical device, the headphones will improve in performance with use. We firmly recommend not allowing headphones to play continuously for extended periods of time. We strongly suggest letting the headphones break in naturally with normal use.
Listen and enjoy the journey." Taken from Grado Labs Limited Warranty Sheet.
Peace & Pandora,
Link