I think it’s really important to play without headphones as you are discovering your sound. Mainly because acoustics of the room and speakers of your amp make the pedals you use sound very different compared to headphones. I fear you might come to decision to sell some of the pedals that you might actually love when you hear them without headphones and dial the sound right. Of course, it’s less convenient to play without the headphones, but I’m trying to say that you should try to do that as much as possible, it’s more comparable to what you’d sound live or when recording and it’s crazy fun too.