Honestly, what would be the purpose of that?

Balanced hardly makes sense in headphones. Unless your amp can push more power in balanced mode only, and you need that extra power. And with Grados being so easy to drive - that is not the case.

I would be glad if anyone contradicted me with some actual facts what benefits balanced brings to headphones. But for now, I would say that this mod would not be wort time and effort, if you do it for sound quality and not just for fun.