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 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.


If you look at my comment above, you’ll see that I prefer the Stax headphones over the Audeze. Obviously, that’s a personal choice but it’s due to two things; the heavier weight of the Audeze phones, and the transparent sound that electrostatic phones offer, in the case of the Stax.

In fairness to Audeze, my LCD-XC are not their top of the line. I like the sound of the Audeze phones but I found that the heaviness resulted in shorter listening sessions, although many people love those phones. Also, don’t discount the value of a dedicated headphone amp. I recommend one with tubes.