If you're actually going to DJ, then you'd use some DJ software where you can manually cross-fade. Independent output and volume control for at least two playback streams, that way you can monitor one stream on some headphones as you queue up the next track.

If you're just going to set up a playlist, then yeah, just turn on cross-fade in your favorite music player and set the fade duration long enough to cover up any silence at the start or end of the tracks you've selected.