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? 
ZMF. You will have to wait several months but these are super real and lovely.
Thank you, Tony. I’ve read brilliant things about STAX "earspeakers" but I can’t imagine a way that I can listen to them at the moment. I’m not aware of any dealers in the Northeast. I’d need a dedicated amp as well. The 009s are beyond my reach but the 007MK2 are a possibility, perhaps with a STAX or Woo electrostatic amp. I’ll ponder!!

Edit: the ZMF headphones are beautiful!! I'm sure they sound sweet....
I own a pair of the the older version of 007 phones and a Headamp Blue Hawaii SE amplifier.  I considered the 009 phones, but, overall, I prefer the less bright sound of the 007 phones.  I have heard the Dan Clark phones on this amp, and I like these a lot—a warmer sound (more prominent lower midrange) with a tonal quality a bit more like Audeze phones than the Stax phones.

Comfort is important.  I find the Stax and Dan Clark phones to be quite comfortable.  The Audeze phones are very good too, except for the added weight which can be tough on one’s neck during a long listening session.  
I am now interested in the new Audeze electrostatic phone —the CRBN.  It is quite expensive, but it already has a following.

My local dealer has an assortment of headphones to demo with different amps. They have a 30 day return policy. I bought the Sennheiser HD800. High comfort factor on me, I can wear ‘em all day and don’t tire of the sound. I kept them.

I also wanted some closed back and since the 800’s were so enjoyable, bought some 820’s. They’re a little heavier than the 800’s but it’s not an issue. Same comfort, great sound. I switch back and forth.

Nice, bslon. I don't have such a local dealer. There's one about three hours away that has Focals for home audition, but only for a week and they're grouchy if the customer isn't local. (They're kind of grouchy anyway.) There's a store about four hours away that does sell Focals and Sennheisers and Audeze, and I can ask about their policies. Buying a pair with a 30-day return policy is easy; it's the comparison that I'd like to do. (Obviously, I can compare the weight and comfort one-by-one; it's comparing the sometimes subtle differences in sound that I find difficult that way.)