Answered by Sayyidi Habib Umar bin Hafiz (may Allah protect him and benefit us by him).
Is it considered bad etiquette to consult more than one shaykh on the same matter and then to follow that which one feels most comfortable with?
Firstly, if it is an issue of suluk (spiritual wayfaring) you must only consult one shaykh. You may not consult another shaykh on the issue and you certainly may not make your own judgement.
If it as an issue of fiqh (law) you may consult more than one shaykh if you are doing so out of caution and seeking an opinion which is harder upon the nafs (lower self). You should not do so if your intention is to seek out dispensations and that which your lower self is most comfortable with. In general, the one who consults a number of shuyukh and then chooses the opinion which is most suitable to him is making himself the shaykh of those shuyukh.