“Exchange” is correct when you are returning one item but getting another in a different color/size. “Return” is best if you are simply returning the item for your money back.

an exchange is when you return something and the store gives you something else for the item. A return is when you return the item to the store and you receive your money back that you paid for the item. You could receive cash, your purchase might be removed from your credit card or they could give you store credit to purchase another item at another time.