If you bought an item listed as in Australia, then in my opinion if there is a return needed, it should be to an address in Australia.
You need to contact ebay. Do not send a message, contact them, go through the help pages and you should be able to chat to someone.
As lezned said, a lot depends on why you need to return the item.
If it is faulty, you need to open a proper ebay claim, do not try to do it privately with the seller.
If you do it through ebay, the seller has to provide the postage payment.
If you are wanting to return the item because of a change of mind, then yes, you have to go through the seller and not all sellers allow returns but if someone will allow a return, then I think it should be to an Australian address if they have advertised their items as being in Australia. It is worth a chat with ebay about it, anyway.
The key to buying on ebay is to always double check things and make sure you really want an item before you order and pay for it. And always check where the seller is located, as well as where the item is.
