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 have always found a dealer with a good selection of headphones to listen and compare them to each other in real time and pick the one i liked best because headphones are such a personal and crucial item especially for sound and fit.
The Cable Company has a Headphone Lending Library, you can borrow multiple models. I’m not affiliated with them but have made purchases.
Good luck, enjoy your quest.
Like russ69, I've worked my way up Grado's line of headphones from the entry level SR-60s up to the SR-325e's and they do improve as you climb the food chain. Not everybody likes open backed headphones but they allow me to hear ringing phones, doorbells etc when necessary.
@bslon, thank you so much. I read in another headphones thread here that the Cable Company had a good policy but I couldn't find it on their website. That's great. I have an account with them and will most likely try that.

@orgillian, thank you. I've had Grados for at least twenty years, the SR-60, SR-80, and now the RS2E. They're incredibly comfortable and I love the Grado sound. Long story short, I want to branch out. 
Not sure where the ethical concern comes in, if you're abiding by the return policies. The Music Room literally expects people to try and return things, so I'd think that other companies must expect the same, or at least they should if they want to stay in business.

Why not start buy buying a couple of headphones from TMR:

"Every product we sell has undergone a rigorous testing protocol and is backed by our 14day satisfaction-guaranteed return policy (when purchased at, along with a 45-day warranty. In short, we want to make sure you are 100% satisfied with your purchase."