The most effective place to insert a high-pass filter is at the amp's input (or the preamp's output).
Less effective is to change the interstage coupling capacitor inside the Paramount. That would relieve the output tube and the output transformer of some deep bass, but the driver would still have to handle the full spectrum.
There are a couple other considerations that complicate the decision:
1) Adding a capacitor at the power amp input is one more capacitor in the signal path. If the preamp has two outputs and has a capacitor at its output (such as the Foreplay III and the BeePre) then separate capacitors can be used for each set of outputs, eliminating this compromise.
2) The capacitor will be small and will increase the impedance levels, making the circuit more sensitive to picking up hum and noise from electric fields. If the preamp can drive lower impedances than the 249K stock input resistance, you might want to change that resistance in order to use a larger capacitor. I would not do this with the interstage capacitor since the driver relies on the high 249K 300B grid resistor to maintain ,ow distortion. In any case, be sure the capacitor is correctly oriented (outer foil to the source side) to provide the most effective shielding.