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 Headphones.com, 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? 
northman
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!https://www.youtube.com/watch?v=IVgfA7gAX2A
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!
@freediver 

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.