Jerg, you will eventually get some dirt in there. Or let me put it this way, if a lot of people started doing that mod, some of them would wind up with ruined HE500's or HE500's in need of repair. I have ruined orthos before from leaving bare drivers exposed while I have the cups opened up working on damping schemes. Some drivers can be taken apart some can't unless your name is Don. pantyhose shouldn't do much, I'd recommend that but do what you want.
been trying these quite a bit with a friends FiiO E17 now, super impressed. used the pleather pads which weren't the comfiest though. but they seem more comfortable than what I remember my HE-4 being. sound is among the nicest I have heard even with such a weak amplifier/DAC. think I will try them with the Burson HA160DS or if possible the Gungnir/Mjolnir combo next, as they have that in the store for demo. amazed how well the treble behaves.