New audio setup?

Yamaha A-S201 is a Integrated Amplifier and can’t use as a power amp, so the Schiit Audio Freya Pre-Amp is not needed.
If you want the Schiit Audio Freya Pre-Amp in your setup, you need a phono stage and power amp.

imhififan is correct.  However, in your list, I think the Yamaha is your weak link.  The Shiit Freya is a really excellent preamp, especially if you start looking at alternate tubes (i.e. Electro-Harmonix, etc.).  But there will be an additional expense of a dedicated 2-channel amplifier and a phono input preamp.   The Yamaha won't have the tube magic.

Thanks imhifiman and auxinput.
So, I couldn't use the Schiit Freya (as the preamp) connected to the CD input on the Yamaha?
I already have an Onkyo TX-NR686 but thought a dedicated 2ch amp would sound better.

As stated above the Yamaha is an integrated amp, meaning it has a preamp and amp together in one box. It's not really a dedicated 2 channel amp; you would need a power amp. 

The CD and other inputs can only be used for source components such as CD, tape deck, streamer. The preamp section in the Yamaha controls these sources.