Oh, one of those things that should be obvious but was easy to overlook and took me longer than it should have to track down:
Don’t forget to go into the mixer and set your headphone output to main only if you do this. It defaults to an equal mix of main and cue, and that means you’ll be getting a bit of extra dry signal in your headphones when you turn up a track’s cue level to send it to the aux track, and it messes up the way your mix sounds in the headphones.
I was working that way all week (I usually don’t use headphones but I’ve been working late this week so I ended up with them on a lot so I wouldn’t drive my neighbor crazy) before I realized and all of the mixes I set up in the OT were wrong because of it - send effects were too hot because the cue in the headphones was masking the effects, compressor settings wrong because I was hearing the cue signal also and it made things sound thicker and fuller than they actually were, etc.