Auditioning headphones (ethically)?

I've had some good headphones and I want to move up to some very good headphones. I'm thinking about the obvious ones in the $1500 range: 800s, Clear MG, Arya. 

Given that one needs to live with headphones for a while for both sound quality and comfort, how do people audition two or three pairs at once? Do you buy them from the same site and return what you don't want to keep? Do you buy them from different sources and return what you want? Are there any concerns about doing this, ethical or financial? I've read the policies on, the Cable Co., AudioAdvisor, etc--most have generous return policies but they seem to be centered on one-at-a-time purchases.

Anyway, all this is obvious. I'm sure many of you have faced this question. What do you guys do? 
I always research the heck out of them and make my best choice. I am normally buy 2x or 3x in cost so they always sound like a big improvement for my first purchase at a new level. I listen to them for many months before wanting to adding another set at that level. The first purchase gave me an empirical ruler with which to judge buying my next set. Owning and reading reviews of the ones I own allow me to understand reviews of others at the same performance level. I currently use Focal Utopia (bought first) and Sennheiser 820s. I enjoy them both… i switch. I liked the Focal more at first, but after six months have gravitated to the Sennheiser.
Most of us have a number of headphones at one level. We use them all.

So, for me, I only use return policies as a defense against a mistake.
There is enough info online,especially from sites like to narrow choices down to a pecking order.Since most online dealers/stores carry pretty much all the major players start with your #1 choice & live with them a couple weeks at least,you'll know by then if they are keepers,if not send them packing & try the next in line...
During my search for the perfect headphone (which never ends), I attended a few high end hifi shows. I recall going to RMAF and shows in California where they had whole ballrooms devoted to headphones. I was able to audition a lot of high quality, expensive phones and amps. My favorite phones were Stax, Fostex and Audeze. I still recall the Blue Hawaii tube amps and the magic they made with Stax headphones. I now own the Stax 009s and Audeze LCD-XC, but the Blue Hawaii is still on the horizon.

 Like the poster above, I switch between the two phones but my preference are the Stax 009 phones, which replaced my earlier Stax Lambda Pro version. My point is that, if cost is an issue, start with a model a little lower in the line. There are hundreds to choose from, and obviously you can’t audition them all. There is no "perfect, ultimate" headphone, just one that you prefer. Although you can’t audition every headphone available, you might try trusting those on this forum, and others, to help narrow your search.

I agree with tonykay about going to a show. I think an audio show is the only way to really hear and compare phones.  I love the venues with the giant ballroom full of exhibitors.  Everyone is helpful, and most are willing to permit you to take the phone to another table to hear the phones on a different set of electronics. 

It may be a while before I am comfortable sharing phones like this, but, one day, the pandemic will be in the past.
I just buy the Grados in the price range that makes sense to me. I much prefer to listen to loudspeakers but good headphones are a lot cheaper.