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? 
Sounds like it’s a good excuse for a road trip. The good thing is you get to take your listening room with you. 😁

You ask a good question. To answer it from my point of view, it is absolutely not ethical to purchase multiple sets of headphones with the intent to return all but one. That is not the intent of the companies that offer this policy and it constitutes a cost to them as they can no longer sell the returned headphones as new. To me it this kind of behavior points to one of the reasons society has become so angry and unfriendly. Most people used to be taught to “do the right thing” based on principles of fairness. Our society has moved to make decisions based on rules… and how close can I get to, without actually violating the rule. Rules are gross generalities established to stop an unwanted behavior after it has been detected as a problem. If we would always act in such a way that if the situation was reversed, it is the appropriate action, then people would act more considerately.

So you asked a valid question. I have been in business most of my carreer. The answer is absolutely no. If I wanted you to buy multiple headphones and use the return policy. I would state it as a option. I would advertise it as an option. “Buy 3 return two… no charge. 
Agree with ghdprentice.
Returning items costs the dealer money and purchasing items KNOWING you are going to return them is unethical. But it can get even worse: one of my other interests is backyard astronomy and on a related forum a member stated that he would decide on a certain telescope, buy 2 from 2 separate dealers, and then "take the best parts from each" and put the rejected parts on the other one and return it. He made no mention of whether or not what he was doing was ethical (and is it even legal as he was not returning exactly what was sent to him?) His only concern was  paying the return shipping charges which he called "the cost of doing business". I was speechless.
Okay, so now we have two thoughtfully articulated positions, best voiced by @soix and @ghdprentice . @qjm101 states one side with clarity: "purchasing items KNOWING you are going to return them is unethical." And @soix is compelling as well: as long as someone follows the policies and is committed to a purchase, that's not only playing fair but it's giving the dealer a chance at a sale that he might not otherwise have.

I can see both sides and I truly appreciate the time you all have taken to open all this up. I think I'm going to split the difference and 1) try the Cable Co lending library and 2) make a road trip, I guess, and see how I can do in a physical store. I hope they have a comfortable chair. I'll have make sure they're good with doing returns by mail. I don't want to drive eight hours just to return a pair of headphones...

Thanks, all!
Check out this review for ZMF Auteur.After I watched this 22 minutes, I bought ZMF  Auteurs and never looked back!