+1I have both open (Grado SR80s) and closed (AT MX40X) headphones.
The open headphones are unmatched for listening to music (in a quiet room). However, if you have access to a microphone and an audio interface (which you will need for recording anyway), closed-back headphones work much better for practicing. Among the advantages of using closed back headphones are:
1. You'll be able to hear yourself the way an audience would, and you will thus get used to shaping your sound to match the way you would want to be heard.
2. The closed back headphones can provide some hearing protection in case you're practicing loudly and/or in a 'live' room.
3. You can independently control your volume and that of your accompaniment/backing track/etc.
About 90% of my saxophone practice is into a microphone with closed-back headphones in a WhisperRoom. For flute and clarinet, which are significantly quieter, I spend much more time practicing without headphones in an open room.