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? 
Check out this review for ZMF Auteur.After I watched this 22 minutes, I bought ZMF  Auteurs and never looked back!
There was a time when haggling & a discount was SOP.Nowdays dealers REFUSE to discount,sighting manufacturer controlled pricing,which is garbage as it constitutes restriction of fair trade,along with pushing the cost of doing business(Paypal or CC fees)to the buyer as well.IMO it's all out war so I say if your going to be charged as much as the dealer can squeeze out of you then by all means USE their policies in the same manner!

Haggling and discounting was a thing when the cost the dealer got the goods was less than 50% of the MSRP. But that has been squeezed out. The margins for dealers is much smaller now… thank the internet I think.
... Nowdays dealers REFUSE to discount ...
Not true. Dealers give discounts to their best customers.
You can still get some discount by trading in equipment as it allows your dealer to over value the trade in, effectively giving you a discount. You can pay in cash and ask for a 3% discount.