I have a slightly different view on the topic.
Expect that forums and reviews don't help and at the start can even be contraproductive. On Headfi every single thread is around 98% positive because the fanboys just group up there. Took me around 2 years to realize that. Critical views or comments who point out serious drawbacks usually don't get much attention.
With the time you learn what to look for, which people you can trust and which people have the same taste like you or which people have the exact opposite taste of you. That's kinda helpful.
But for the start there is no way but auditioning for yourself. Like above mentioned i think buying used is the best way. If you get good deals and sell for good prices you can in theory test all the audio stuff in the world for +- 0$. I even know people who actually make profit with this.
Usually it's not enough to test 2 or 3 headphones or setups and say now you're totally satisfied. Some people have tried hundreds and are not. So always buying new stuff and returning it isn't really the best option.
Most reasonable thing to do is to hit up retailers if they have some demo/b-stock they can lend you.
Second problem with demoing is that you need a whole setup. If you try a headphone at a store on a different setup you can not compare it. If you want to compare different dacs or components the whole mess really starts because every single piece in the chain has to be the same. There are so many pieces that influence the sound. The source, the file, the digital transport to the dac, the implementations of usb or coax ports on the dac, the dac itself, the amp, for some people the cables etc. So comparing single parts to build a whole setup is not a short term task but a very long way.
If i started new from scratch i wouldn't go that way again but i would solve the problem with an all in one device. So before you demo single pieces of a setup and start a years long journey i'd first compare some all in one devices. I'd look out for devices that consist of
a) a streamer
b) a dac
c) an amp
If you can compare 2 or 3 of those devices you can imo make a much more solid decision then when comparing 2 or 3 different single amps or dacs unless you want to copy the exact same setup that you've heard. But especially in your price segment the all in one devices are in my experience superior to those selfmade mixed combos. You can have 3 individually very good devices that when mixed together just don't hit you taste because the combination doesn't harmonize.
So my advice: give 1 or 2 solid all in one devices that include a streamer a chance before you dive in the deeper game. If you like it it saves you a big chunk of time and money.
My prefs for 4k:
Choice A:
2 k - All in one streamer, dac, amp preamp
200 $ - Headphones (HD600 or HD650)
Spend the rest for active speakers
Choice B:
2 k - All in one streamer, dac, amp
2 k - highend headphones like Utopia, Arya after auditioning them
Choice C:
2k - streamer, dac
2k - E-stat amp, headphone set like the Stax L700 or the Hifiman Jade II
Choice D:
500 $ - DAP
2 k - easy to drive highend headphone like Utopia or AH-D9200
Spend the rest on IEMs