The first thing you need to do is make yourself fully aware of your supplier/s returns policy and include that policy in all applicable listings so customers are well aware upfront.
In regards to a return address, you're really only adding an extra expense on to yourself by having the item shipped to you first because then you will have to pay the shipping to forward to the supplier. There really isn't any advantage at all to having the item sent to you so my advice would be to have the item sent directly to the supplier'/s preferred address.
That said, I would recommend that you put in your returns policy that the very first step should be to contact you to inform you of the problem. Once you are aware of the problem, you can then forward the customer the suppliers returns address and ask for a tracking number to be forwared to you once shipped by the customer.
This ten allows you to monitor the situation right up until it reaches the supplier and then you can stay ontop of it while the supplier has the product. You can bet that the customer will be following up with you in regards to how things are progressing, so you really need to make sure you are on top of all that information so you can pass that along at a minutes notice.
Don't wait until you get asked the question to then try and find out because it might take a day or two for the supplier to chase that information up for you and customers can get very nervous when they have sent something back and then have to wait for information. So always follow the golden rule with customer service, stay on the front foot!!