This is the way it works ;)
And also if you using a plastic box you might want to ground metal parts... so all ground pins from other metal parts or if they have eyelets should go to the IEC ground!
You could do this for example with an Elma rotary switch Type 04 and 4 poles with 3 Positions. I found this pic which shows the wire connection to have a hard bypass or switch between two sources A and B
hope this helps!
Don-Audio is the Edcor Europe source. They have a lot of trafos on stock and other one can be ordered without bothering with taxes and very nice support!
+1 for the ATH-M50 the price is very low at moment for this model since they have the new X models. They only differ because of the cable... it is a price point of >60$