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? 
Can you get a good audition at a hi-fi show? I'd like to go to Canjam here in Southern California and audition open back models but I'm wondering if it will be too noisy. Just yesterday while listening to my Stax Lambda Signatures, my wife was wadding up a piece of paper two rooms away. I thought either the amp or phones were having a meltdown!
I personally think not. There is noise and activity all over.there is the demand to quickly decide. None of these things work I]in your favor. But as arts cut, ok.
Yes, you can audition reasonably well at a show.  The noise levels are not so high as to make it impossible to hear what a phone is capable of delivering.  Unlike auditioning speakers, you don't have to be concerned about how the room is affecting the sound, so, by comparison, phone auditions give a fair representation of the sound you can expect to hear in your own system.  You still have to deal with the differences in upstream components, but, at most of these shows, you are allowed to move the phones to a different table to listen on another system.

To me, a show is the best way to hear a variety of phones and make a reasonable pick based on what you hear.