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? 
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. 
Please do not underestimate how differently headphones sound with different headphone amps in play, the set favored with one amp might be the loser with another amp. Enjoy the music
Thanks all of you. I'm interested that you're all giving more or less the same advice, and it's *not* "order them all and keep what you want." I certainly agree about hifi shows; maybe now they will be happening more frequently. The last one I planned to attend was Montreal ... before the pandemic.

I agree about researching the heck out of it and I'm doing that. What I can't research, though, is how headphones will feel after an hour or two. And of course one man's "bright" is another man's "neutral." Etc.

Thank you again. The responses are not what I was expecting but they're *very* helpful.