I need to do a review of this range of earphones myself but my personal experience is that the returns aren't THAT diminishing
Maybe not as big as a jump but that's because the stock phones are utter crap to begin with. Once you start up the ladder I feel you get a pretty linear return. The SE530s, for instance, are insanely expensive but compared to my SE210s they feature 3 drivers.
As great as my 210s are, its physically impossible for them to create the sort of sound that the 530s do. And the biggest difference between the next 'level' of in ear headphones is that the sub-$100 range is still using dynamic drivers. The next level will get you balanced armature and its really a pretty good step up in clarity. BA drivers really do a great job of sharp sound reproduction.