Listen at home, over time, relax, try different genres of music, different volumes, under different moods, and any other variable you can throw at it.
I've two new sets of speakers, bought on the back of a demo at dealers, both are working nicely in one room and neither currently working in the other room. I've some ideas how to fix that, time will tell. On back of the lockdown I impulsively bought both when I had intended to home demo both. Silly me.
Demo at dealers, read up on measurements and others opinions. I'm really sensitive to upper mid-frequencies and have returned three sets of headphones to Amazon recently that I just couldn't get on with; didn't look at measurements before buying, only once I was unhappy with or had returned them, but all had suspect fq peaks between 4 and 7khz - exactly what I can't abide.
Blind testing for me is a no. It may well work for some. I do fear it's the equivalent of an unreliable medical test and produces as many 'false negatives' as it proves there is no difference.
Summary: as is appropriate for the individual a mix of demo at dealers and home, measurements, long term listening, blind testing, references. Is there a one size fits all?
Most important, imo, listen at length at home.