With most DACs on Mac, you don't need to do a whole lot. Just select the DAC in the Audio section and make sure it can play.
Then configure the Output Format to set up the Sample Rates that the DAC supports. See the docs here:
http://wiki.jriver.com/index.php/Output_FormatSee the Sample Rates section in the lower middle? That tells JRiver how to output audio from files depending on their sample rate. It looks like the Dragonfly supports up to 96kHz, so leave everything from 96kHz and down set to the default. If you're doing to play audio at rates greater than 96kHz, you'll want to set the Output Format to map those rates to 96kHz or less. There's a Dragonfly FAQ that talks about this some. Look near the bottom of the page:
http://www.audioquest.com/usb_digital_analog_converter/faqsOtherwise, you probably don't have to do much else unless you have a problem playing some files.
Enjoy.
Brian.