What sort of fuel pump do you have? My limited understanding is that engines (esp. carb-fed engines) with low-pressure electric or mechanical fuel pumps don't need a return system, but if you're running a higher pump pressure and there's a chance of "overwhelming" the induction/injection system, then a return line deals with that, sending un-needed fuel back to the tank and providing a sort of pressure relief against an overenthusiastic fuel pump.
