Just a note to remind myself and you folk how cueing is supposed to work in Ableton Live...everything is obvious when you know how...not so much when it doesn't work first time...I just upgraded to Live 9 Suite and had to set things up from scratch again.
This works on Mac OS X 10.7.x with Ableton Live 8 and Saffire Mixcontrol 3.0 or on OS X 10.8.x with Ableton Live 9 and Saffire Mixcontrol 3.1. I haven't tried other combinations so YMMV.
To demonstrate, here's a screen shot showing the mixer software "floating" over the top of a demo Live 8 config.
Saffire Mixcontrol 3
In Ableton Live, on the left "behind" the Mixcontrol software, you can see I can crossfade the two tracks to A (in yellow) & B (in orange) see above. That's easy but how do you listen to one or more audio tracks while playing the main out in the background?
The answer is to route every track to Master as usual but configure the Master Out to 1/2 and the Cue Out to 3/4 (or any other pair).
Then, fire up MixControl and create two mixes, one for speakers (1 & 2 in my case) that captures the Master output from DAW 1 & 2 and another one for Cue output from Ableton on DAW 3 & 4 for speakers 3 & 4 in my case).
Mix 1 (labelled "Mix 1/2" above): from DAW 1 & 2 to Mon 1 & 2
Mix 2 (labelled "Cue 3/4" above): DAW 3 & 4 to Line 3 & 4
Then set up the headphones to only listen to Mix 2 which is labelled "Cue 3/4".
Your headphones will only hear the tracks cued in Ableton Live.
Note: the cue option is only active when the monitor section is set to Cue (i.e. not Solo), THEN each track can be cued using the solo/cue key on your APC or in software on that track. With the cross-fader all the way to "A" all output is "A" track(s) only, then cue the "B" track(s) and listen to them in isolation before you crossfade 'em in - sorted!
P.S. If you want to cue more than one track at the same time you need to turn "Exclusive" off in Live by deselecting the "Solo" button in Preferences.
Ableton Live 8 Preferences