Tex, I'm doing exactly what you are talking about, with great results.
Here's my set-up:
My 16 Pro Tools Hardware Outputs (8 from a 192, 8 from an 888/24) are hardwired to a patchbay and half-normalled to line inputs 1-16 on a Studio Master Trilogy. I can then set up each instrument in the Pro Tools session to go to a particular channel or pair of channels on the board. I chose this mixer out of the universe of various $1000 boards specifically because it has six aux sends on each channel that are simultaneously available (unlike Mackie) AND all six can be set to Pre-fader (unlike A&H and most others). This allows me to create 3 independent stereo cue mixes (or six mono ones) while I can use the channel faders, solos, and mutes on the Trilogy to listen to whatever I want on my own headphones or monitors without fear of changing anything the musicians are hearing.
But it gets better!
Then I bought another $1000 board (this time an A&H MixWizard) which also has six simultaneous aux sends, although not all can be made pre-fader. (In this case, not as important, as I won't be futzing with the channel faders or mutes). Then I connected the Trilogy channels 1-16 to the Mix Wizard channels 1-16 by using the insert points (again, prefader) on the Trilogy into the line ins on the MixWizard.
The result is I can now create 6 seperate stereo cue mixes (using the 12 total aux sends, pairs of which can be routed to various headphone preamps scattered around my rooms.) For my studio, that is usually enough. Everyone having their own mix makes the musicians' life a lot easier, and they love it! I think it definitely contributes towards getting me repeat business.
This method may not seem as elegant as some of the newer headphone stations that allow each musician to "mix their own", as all the musician controls is overall volume of their cue mix, and they have to ask me to get changes in the instrument balance. But there are advantages to this (besides cost) method. Sometimes musicians screw up their own mixes when they have control , and then struggle to play through the mess, often without realizing it. By creating the cue mixes at the board, I can always solo them and listen to what the musician is hearing if they seem to be struggling, and can make suggestions for how to change their cue mix to their advantage.