After several months benefiting from Head-Fi's advice (as a mere pseudo-audiophile), I finally decided to join, for the sole purpose of thanking the contributors of this magnificent thread!
I got my dampers from Mouser today (grey, white, browns, green, red and yellow), and was lucky enough to be able to take out the stock dampers without damaging them by using a needle and carefully pulling them out. While I was impressed with the detail of my new se535 I can't say I enjoyed their analytic character (and forward mids) because melodic instruments (guitars, voices, trumpets, etc.) would usually stand out too much (with an amazing detail though), and created a distraction from harmony, bass and percussion.
It looks to me that the brows are the ones I will stick to, they alone would make the se535 worth keeping for me, but all the others are nice to have/try too - tons of fun experimenting, and I can swear that as we get from green, red, yellows we are not just moving towards the bassier realm, there is also somewhat of a different character to each of them (the greens are definitely worth checking again). The grey's with the extra air detailed treble are also very interesting...
Thank you for the great posts!