Do no harm to a signal! Does this mean.....

"...Have a set of headphones hooked up..."

It’s the interaction of cables to the amplifiers (amps in source, preamp, loudspeakers, and amp) that make a difference, headphones won’t do it, except to test headphone cables.

Realistically if you can’t tell the difference and you lose The test you’re an idiot for spending the money on something that doesn’t make any difference. Correct? Are these test that you’re talking about this simple?

Almost.  @russ69 is right, you're not going to pick up the difference between speaker cables by listening to headphones.  You need them connected to loudspeakers that you can then audition.  

But no audio store would ever do such a test, because too many people walking in there wouldn't know good SQ if it walked up and clanked them on the head with a sledgehammer.  Evidence:  Popularity of Bose Acoustimass systems. 

First of all it is NOT plug and play. You plug, in let it settle for a day or so and then listen. You can't swap a cable set and expect to hear what they are going to sound like for a while. How long is a while? If the cable are seasoned, 24 hours. If they are new,, forget about it. 50-500 hours..

Will the cables sound the same if you put your old ones back in? Sure they will if you just unplugged and laid them back.. 2 hours they will quit sounding "OFF".  If you coiled them, didn't cover the ends, 24 hours.

Swapping cable after cable in a listening session just doesn't work. Will you hear a difference? YES! Will it be how the cable sounds once it settles in?  NO!

Regards

If you replace the word enter connect with the word wine that’s what I would think they were talking about. It’s getting a little weird.