I can't remember if the tickets are swallowed or not - will I be able to go from A to B and back twice on an Anytime Day Return fare?
This is not a permitted use of the tickets; you should get two returns, or, in a region where one is permitted, a day travelcard (in London), day saver (in Merseyside), etc.
If there's a gate at the destination station, they will be swallowed.
If your train has a conductor, the tickets will be marked so you can't reuse them.
In theory, DOO trains operate only to gated stations, so you would always have a gate or a conductor.