For what band? For most bands putting a preamp on a PSR-500 is like pouring gasoline on a fire. The thing already has a sensitive front end. But I guess it depends on what you are trying to do, every situation is unique.
If the PSR500 is anything like the PRO96 when it comes to sensitivity, which I think it is, I will have to agree with Phoenix Scanner - If you throw on a pre-amp on a 500, you might not get anything because it will be so overloaded all you will hear is just noise and junk.