Well I can't comment on the difference between those cans, as I haven't heard them, but I do own a pair of Alessandro MS2is (amongst others) and a couple of amps

. The standard "bowl" pads you get with Grado's are pretty uncomfortable imho. I replaced mine with some Sennheiser HD414 pads (the yellow ones), and they sound great & are much more comfortable.
Regarding an amp...obviously if you're happy using the 1/4" headphone socket on your Onkyo, then that will certainly work. If you wanted to try out a dedicated headphone amp, you'd be looking to run stereo RCA pre-outs from your Onkyo into the new amp, and plugging your headphones into that. YMMV with regards to how much benefit a dedicated headphone amp will provide. My personal experience suggests most hifi & av amps tend to have headphone outputs as an afterthought, but I've also found that a decent DAC makes a lot more difference than a headphone amp.
In short...try out the Grados with some different pads, and see how you like the sound straight out of the Onkyo headphone socket. If you want to improve on the sq, then it's a whole can of worms as to what dac/amp etc you can look at

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