During WW2, a lot of cargo ships sailed in convoy to Britain. I am wondering, if they also made the return trip in convoy? If so, were such return convoys also escorted?
Yes, though it evolved throughout the war.
Prior to the fall of France ships would run in escorted convoys from Liverpool (OB) and London (OA) for a few days until out of range of German U-Boats. Then they'd make their way separately at their best speed, rather than being limited by the slowest ship in the convoy. They could get away with this because U-Boats were mostly short-ranged. Operating from bases in Germany, they either had to risk running the Channel or go north around Scotland.
The fall of Norway and France gave the Germans direct access to the Atlantic and forward deployment of U-Boats and long-range attack aircraft. In addition, German U-Boats and aircraft had longer and longer ranges. Now OA and OB convoys were formed together at Liverpool into ON convoys, Outbound from the UK to North America. They'd sail through the North Channel between Ireland and Britain to get as far away from France as possible, then transit the North Atlantic to Halifax.
Many anti-submarine escorts are small, short ranged vessels and do not have the endurance for an Atlantic crossing, like the woefully inadequate but cheap and numerous Flower-class corvettes. To deal with this the Mid-Ocean Escort Force (MOEF) was formed. Escorts would leave port with a convoy for about ten days, hand off the convoy to a new set of escorts, and then join up with a convoy headed back to port.
A typical early-war MOEF escort group would be one modern destroyer, maybe a Gleaves, Benson, or H-Class, plus a few older destroyers backed up with corvettes and cutters. There were many ON convoy battles.
In addition, Allied aircraft would patrol the convoy routes. U-Boats, needing to spend most of their time on the surface, lived in fear of Allied aircraft. Even without being attacked, spotting an aircraft would require them to dive. While underwater they were slow, nearly blind, and using precious battery power. Forcing a U-Boat to dive could cause them to fall behind a convoy, miss spotting a convoy, or leave them with insufficient battery power for a submerged attack.
The Mid-Atlantic gap outside of the range of Allied air patrols was a favorite hunting ground for U-Boats, but it got smaller and smaller. Just a handful of B-24 Liberator and B-17 bombers in 1942 gave the Germans concern. Longer ranged aircraft, radar, and Leigh Lights (a powerful spotlight for night attack) continued to close the gap. Escort carriers and Very Long Ranged B-24s finally closed the gap in mid-1943.