I think it's important to distinguish between functions when asking the original question. I find it very easy to hear differences in different DACs, whether internal to the player or external. I've not yet heard a difference in transports (i.e. running different transports to the same external DAC), but I've not done any specific comps on transports (and now that my playback is PC-based, I probably won't).
If you're happy with your transport, I'd suggest trying out an external DAC. I think it'll give you the best bang for the buck. Then, down the road, you may toy around independently with different transports.
Edit to add: I don't know what other gear you have for playback, but IME the better the pre / amp / speakers, the easier it is to hear the DAC differences. So I think first step is to improve the pre / amp / speakers, and then when you're happy with those go for the DAC and/or transport.