2 things that I found useful when I started to play out.

1) If your mixer can do it, try bleeding in just a little of the output in to your headphone as you can hear if its a liitle bit out before you 'go live' with the cue channel

2) As soon as I have the cue channel live, I forget the headphones and just listen to the monitors. You can always have a quick listen to them if it starts going out and you dont know which is ahead.