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? 
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."
Ethics were part of your question, yet most responses seem to ignore that aspect.  From the standpoint of a dealer selling headphones, the only real ethical point is that if you use a dealer's time, demo inventory, home trial policies, etc., you owe it to the dealer to make your purchase from them if you settle on something they made available to you.  In a case where several dealers have the same offering and each made their best effort to facilitate your decision, you have to choose to buy from one.  A "good customer" will thank the losing dealer for their help, and acknowledge they bought elsewhere and why.  If price becomes a factor, always allow the most courteous and professional dealer the option to counteroffer or match, and be prepared to ethically decide if their service has monetary value, because if it doesn't, you are not a "good customer"!
Buy used, try them out, and if you don't like them, flip them.  If you don't overpay you should be able to get most or all of your money back.

Headphones are a personal thing, definitely find out if the person selling is a non-smoker and consider buying a new set of earpads for them.