Gain will not change with bias current, only the maximum output before clipping distortion will change. To get more voltage out, put more voltage in. Changing to a current source will not have any effect on gain compared to a choke load, but will reduce the maximum voltage output. Changing the plate load impedance will have little effect on gain, it just unbalanced the clipping limit on the positive or negative side. That balanced clipping is essentially the definition of an "optimum load impedance".
With a 72v plate supply, use a 1400 ohm cathode resistor. You should see about 4.25mA current, 6v across the resistor. That is optimum with a 5600 ohm primary load, which is 70 ohms on the brown 10W tap, 140 ohms at the red 5W tap, 280 ohms at the orange 2.5W tap. The higher impedance taps will have more voltage output. I think it's reasonable to use headphones that are between half and twice the calculated load for that tap.
While the blue primary tap is labelled 0.25 watts, which calculates to 20,000 ohms with a 70.7v line, I suggest using this tap as the 8000 ohm (36v power) or 5600 ohm (72v power) point so that you use all the available inductance and get the best bass possible. The load impedances are scaled by the same factor (5600/20000=0.28 times the "normal" impedance). This will make the leakage inductance more important, possibly reducing the treble a bit.
This is an off-spec use of the transformer, intended to give the best balance between bass and treble results. If you discover you have missing treble and tons of bass, you can experiment with the 0.5W and 1.0W taps as the primary, but remember to switch the output tap as well, to maintain optimum primary impedance. Normally one should avoid off-spec uses, so I am violating my own rule there - I think I know what compromises had to be made to make that transformer so small and cheap, and I think I am compensating for them. But as said, I have not spent a week inthe lab with this little puppy, so I've just posted my best guesses.
Yes, the transformer is configured as an autoformer. This helps reduce the importance of leakage inductance.