How to send some returns to a different address?

You can set up a default warehouse address in your Settings under Locations > Shipping Location that the rules engine will automatically use to generate labels or to send to your customers.

However, not all of your products need to go back to your main warehouse. 
If you need to send different types of returns (according to country for example) to a different warehouse, you can set that up at the level of the return option in your rules - click on "Edit" next to your return option.
You will be able to check the option "Select a different return address for this option" under Return Address within your return option.