Use whichever works best for you. I know, that doesn’t really answer anything. Rule of thumb is low gain has less distortion than high gain. Some headphones require a bit more juice, so the high gain option would work better if you’re not getting enough volume. In my experience, it can also help increase the bass and slam a tad bit. So if they’re sufficiently powered on low gain, stick to low gain. It really depends on the headphones.