At Sennheiser we do not have an official stance regarding the theory that headphones need a "burn in" period. Sennheiser headphones are designed to sound great from the first moment they are plugged in.
Some argue that over period of time a user will become more accustomed to the particular headphones. With this, they will start to notice more of the frequency response range and nuances that the headphones are capable of producing. This argument suggests that over time a user will develop a greater appreciation of the headphones and what they are capable of.
For additional information regarding the theory of "burn in" there is plenty of discussion at Head-Fi.org (http://www.head-fi.org).