Depends on your source, and whether you're doing it with software or hardware.
From reading here, many people listen to music at their computer and use software to EQ. Some people are more on-the-go, and listen with phones, tablets, or portable units, and do it with software on those devices. I guess I'm the weirdo who doesn't do either. I play flac files on my PS4 Pro, and I EQ my headphones with the Monolith THX 788.
The only disadvantage to doing it that way I can think of off the top of my head is that the 788's EQ will only do +/- 6db for each point, but software can do more. Most settings I've seen from Oratory1990 fall into the +/- 6db range, so it's not a major problem in my book.