Gas and Oil Home Heating Furnaces - forced air, replacing elec baseboard

New guy here, probably a dumb question! I am in the process of remodeling the basement of my raised ranch. Got the crazy idea that as my ceilings come down, I should lay in the ductwork for a forced air system before the new ones go up. I have been heating with elec baseboard and a coal stove, getting tired of the coal routine.

My question is this, do the cold air returns actually connect back to the furnace or just to the room it is in, in the basement?

You should take all of the cold air returns back to the furnace in duct work or panning. you can have a small return down there in the basement to help heat it with some heat outlets too.;) ED

thanks!