Got both pairs I ordered through now.
The CX-500's. Not convinced with these yet. The first time I tried them then they fitted into the ear nicely and felt comfortable but I thought the sound was dreadful, no real bass at all and really poor definition. However, I think a lot of that was due to the fact that they were not fitting snugly enough. I've since fitted the bigger ear rubbers and I can get them into a position where they do sound good (although not as good as the Koss "The Plug" ones I have) but the problem is that they keep slowly slipping out of the "sweet spot" in the ear canal and hence losing much of the sound. More playing around with rubbers needed I think.
The PMX-85's. Superb. Jaska I owe you one mate - these are precisely what I was looking for. I've just been out for a pretty vigorous two hour bike ride and these babies were comfortable, didn't make my ears hot and sweaty, didn't block out external sounds, sounded great and most crucially did not need adjusting or re-positioning once in the entire ride. So, in short, they were exactly what I was looking for. The twist-to-fit is a bit of a weird concept but once you have mastered it then it is genius. If you're looking for a pair of headphones for cycling / jogging then I'd definitely recommend these babies.