Not every class will have factory methods, but some certainly do. Generally if something returns an Object pointer, and it doesn't contain the words init or copy, you'll be getting an autoreleased object. I assume this will be covered in greater depth later in the book.
As for other datatypes (non-objects, so primitives or structs), none of this replies. I don't know if there are a lot of cocoa methods that return primitive pointers. Most of the time I would expect a value being returned, and you'll just assign it to the same type of variable in your functions. Most of the time primitives will just be local variables in a method, etc. You can deal with C memory management to malloc space for primitives, but this is normally for large arrays not single values. None of the retain/release/autorelease/alloc/init/etc. things that are normally a part of cocoa memory management come into play.
-Lee