When booking in through Shiptheory with FedEx, you're able to add Returns to your orders. This can be done by adding "Return Label" as an enhancement. 

An important thing to note is that this can only be applied to FedEx Express services.

To get this set up, you can do this one of two ways; you can set up Returns to be added to all orders going through a shipping rule, by adding the enhancement to said rule:

Alternatively, if you book orders in manually through Shiptheory, it can also be selected in that menu:

When an order books in with a "Return Label" enhancement, two shipments will be booked simultaneously. One for the outbound shipment to recipient, and one for the return from recipient to sender. At this time two labels will also be generated in Shiptheory, one for the outbound order and one for the Return which will be needed by the recipient if the order is to be Returned.

One more important thing to note is that in your FedEx advanced settings, you're able to now specify a general "Returns Reason":

To access this, go to your FedEx settings page in Shiptheory and click the "Advanced settings" button in the bottom left:

If you're having any trouble here, or would like some help to get this set up, you're welcome to contact support.