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Correct. Usually there is an aux or similar input you can use.
A phono preamp does two things. It amplifies the signal to "line level" ie the input level that the amp can deal with. In addition it applies a filter called the RIAA filter, which allows bass to be cut in the grooves of the record without massive amplitude and the needle jumping out of the groove.
If you plugged it into the phono input on your amp it would be doing both of these things twice...
This is where I don't really understand what's going on but yes, it does.
So, I'd need to plug it in through one of the Analogue RCA Inputs?