David:
To burn the parts, you must first DISCONNECT and REMOVE the speakers from the crossover network. They can NOT be connected to the cooker. The inputs of the crossover are the speaker cable connections side; the outputs of the crossover are where each of the drivers was connected. If it's a parallel crossover, let's say a two-way with tweeter and woofer, I would only burn in one driver circuit at a time e.g. the tweeter circuit only, then later the woofer circuit. Hook the + input (speaker cable) side of the tweeter crossover to the + input side of the cooker and the + output (speaker driver) side of the crossover to the + output side of the cooker. Do the same cooker connections for the - tweeter input and output legs of the crossover. When connected, turn the unit on and burn (Signal polarity on the cooker is actually not important but consistency of connections is). You'll get the green light on in an Audiodharma if there is continuity. Double check the unit for right connections - negative leads connected in one loop to the cooker; positive in the other loop. Turn off the cooker if it's overheating. It shouldn't. When finished, do the other driver filter circuits, e.g. woofer. If it's a series multi-driver crossover REMOVE all the drivers and burn in the one half the circuit with the passive caps and inductors in it (the other half of the circuit has all the removed speaker connections in it and you aren't burning that in). If none of this makes any sense to you after looking at a picture of the crossover, take the parts out and burn them in individually!
Volleyguy:
On the CuTF V-caps, my guess is they're not broken in yet. My experience was using these in an amp as an interstage coupling cap between the input and driver stages using a .1uF/600 volt value. Yes, it took 400 hundred hours or so, but the midrange sounds perfectly natural and not mechanical at all to me. It's possible the very low voltage signal in your phono stage is not high enough to break the caps in as quickly.