I have my return drilled too, but I put in a check valve that has dramatically helped with the burst of bubbles when I turn my pump back on after a water change. I know that their reliability isn't all that great, but it's nice having it. Mine has a union on each side, so that if it does fail, it can be easily replaced.
"What, exactly, is the internet? Basically it is a global network exchanging digitized data in such a way that any computer, anywhere, that is equipped with a device called a 'modem', can make a noise like a duck choking on a kazoo." - Dave Barry