Pedal chain to headphones

[Rhds54]

OK, probably a silly question here, but is it a good idea to go from my effect chain directly to my headphones instead of an amp? If the problem is the signal is too strong, how about using some power attenuator? Or is that thing for something a bit different?   I'm simply looking for options to play my Rhodes through headphones without going through a sound card and a computer.

Thank you!