Return side every time! On the feed side it would be relying on atmospheric pressure to get it through the filter. That doesnt sound unreasonable until the breather at the top of the frame tube gets blocked!!!
I've had one on the OIF Thunderbolt for years and never had any problems with oil returning or pipes coming off.
Re the oil cooler. The OIF frame was originally designed to have oil in the full tube, i.e. to the steering head with the filler cap behind the steering head. This would have given a decent amount of oil for circulation and also, with the top part being under the petrol tank, the cooler fuel may have provided a bit of cooler air around it. However, the story goes that the powers that be at Slumberglade decided it looked ugly and came up with pathetic excuses like owners may put petrol in there by mistake and emulsification of oil would cause internal corrosion at a vital stress area, so the designers were told to move it to the top bend and therefore not only reducing the capacity drastically but leaving what little oil left to get a nice blast of hot air from the engine. The designer involved (cant remember his name) called them the Oiler Boiler frames from then on.
As such, some owners fitted an oil cooler but there is a debate as to whether these are really necessary. I would suggest, next time you do a long trip on a really hot day, check the oil temperature with a thermometer and then decide. I personally don't think its a good idea, unless you live in a hot climate, as on cool days or in winter, the oil won't reach a decent temperature and therefore keep the engine cooler than the ideal.
Just my opinions of course.
Chris