OK someone correct me if i'm wrong. A D.I. box is used to convert your guitar's high-impedance output to a low-impedance one so that you can plug it into mixers and PA systems right?
Hence, besides for recording purposes, a D.I. box is also used to connect your guitar to the P.A. system at gigs, so you can use the in-house speakers.
For usage of DI Box, I would advise that you connect it with your amps line-out jack or preamp out.
The sound will be closest to what you can hear from your speakers as compared to plugging your guitar in direct into the DI and linking it to your amp.
Of coz, the purist will still prefer the good ol SM57 for recording or miking purposes.
The DI box is good if you have an multi-effect with amp stimulation.
Use it with the line-out option so that it sounds better