Do I need a Preamplifier

If you max out the volume on your MP3 player, and the maximum output voltage is 2.0 volts you are safe as long as you are not getting distortion. Read the manual for the player and the receiver. If the max output voltage of the MP3 plaer is 2V and the max input voltage for the receiver is 2V you are safe. The input and output impedances are an issue as well but with an MP3 player connected to solid state receiver I would not worry.

Perhaps moving away from MP3's and towards uncompressed music is a more important concern. With huge hard drives comming down in price and software getting better you can start saving music uncompressed and simply add a new hard drive every couple of years. Music servers are still not quite there yet though Cambridge Audio has one that appears to kick ass for $$$.

Good luck!

The output from your MP3 headphone player is a line level out. As far as adjusting to match other levels, don't bother. Even high end stuff comes out in all differet levels - Maybe your receiver has a level matching feature? It would be in the setup menu, and would allow you to match the levels from all of your components (when you get them).
However, as Bignerd indicates, why bother - just use it as is for now.

I do not have a level matching functionality on my HK3840. So to summarize, I will reisgn to jacking up the volume, when I have to connect my MP3 player to the receiver.

Thank you for all the help.
Boni