To insert a return arrow, go to
Ribbon: DM HVAC->Drafting-> 
Insert Return Arrow
Pulldown Menu: DM HVAC->Drafting Tools->Insert Return Arrow
You will be prompted to specify the insertion point for the head of the return arrow on the drawing.
Specify insertion point:
You will then be prompted to specify the rotation angle for the return arrow.
Specify rotation angle:
The return arrow will be inserted on the drawing.