OP, everything you have written so far suggests that you have a defective pair of grados. Grado's are known as the cans that have the most detailed sound. they would never be described as "warm" or "wooly". it just doesnt happen. with burn in, the highs actually relax and become more smooth. I think your first step is to exchange those cans. I dont doubt your ears, but something is wrong here.
as far as burning them in, that will actually relax the highs, so I dont think that is your answer.
It very well could be that the grados just dont have as much detail as your home speakers at the entry level "sr60". if that is the case, you should look into the grado 225. its the best bang for your buck in the grado line. if you dont like that one, then you dont like grados. they can be had for well under 400 bills as well.
someone suggested trying sennheiser for more detail. this will not work. senns are VERY warm in comparison to all the grados. plus, they are very difficult to drive properly. a typical hp jack is usually not good enough to bring out their abilities.
Keep in mind that HP listening is just a different experience. you wont get the body impact that you do from a speaker. but the level of detail can really be stunning on the right cans.
if you exchange the grados, and they are still too dark for you, then it very well could be that your hp jack is wacky as well. audition them at the store, even with an ipod. they are easy to drive.
also, if you want some other suggestions for cans, here are my tops.
Denon hd2000 - very easy to drive, probably sound great out of your marantz
sennheiser 600 - more detail then the 650, but both are difficult to drive. often a hp jack is not enough to bring out what they can do.
Beyer dt880 600 ohm version. a great can, also hard to drive, but has more detail then the senns.
All of these can be had under 400 bucks if you look around.
I use a vintage stax electrostatic system that I picked up for 300 bills. I'd put it up against most of the top cans, especially for jazz, classical, and acoustic music of any kind. run it off a marantz 2226b. sweet indeed.