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You didn't say where you got them from. Was it a authorized dealer or some average Joe reseller?
If an authorized dealer, you should certainly exchange them for a pair in proper condition. If an everyday reseller, you should pursue a partial refund for the damage, to compensate for the subsequent lesser value. If the reseller takes a stance of either return for full refund or live with it, then decide what's more important to you.
BTW, what Oakleys are you wearing today? That's what this thread's about.