I'm using the AC system of my house to keep my room cooled/heated also. Do not connect anything to a return duct or you will be sucking air OUT of the room and blowing it into the rest of house unfiltered. I did this and it took me awhile to figure it out. I ended up running a a tube (my house has the insulated soft tubes) to what looks like an exhaust vent in a room that didn't really need air and use it to pull air into the room through.
Initially, I had one input vent connected to the HVAC output and another that was connected to the HVAC big air intake (it was close and convenient). During the winter I would close the HVAC output vent. When the heater ran it pulled unfiltered air out of my room and into the intake and blowing it throughout the house. This happened during the summer too but since I had the HVAC output vent open too, it just caused airflow to be reduced but no back flow.
Air is like water, you have think about the entire system as a whole to understand what's going to happen.
FYI - I have a sealed light with it's own dedicated air intake that pulls in outside air and blows it out into my attic. This air only cools the light so there's no odor issue. I also have a bigger fan pulling air through the room at all times (whether HVAC is running or not) and pushing it through a DIY carbon filter box. Without that second fan, my room would get much colder (winter) or hotter (summer) when the HVAC system was not actually running.
Temperature control was THE biggest issue I faced setting up my room so I would think things through carefully.