The SE846 is definitely bigger, heavier, and somehow feels more substantial that the SE535. The earpiece body feels a little smoother to the touch as well. The earpieces of the SE846 are a little clearer too (like the glass on the headlamps of a newer model car).
Despite the size, the 846 fits in my ears a little better than the 535. I think that is because the memory part of the cable near the connector(on the 846) tends to stay in place just slightly better (yielding less sideways pressure to either pop the earpiece out or rub against the ear).