I had a hell of a time with this last year - Apple didn't ship the phone with any sort of box to return my old one (why would they?), and the AT&T store refused to take it because they said it needed to be shipped. I ended up shipping it off to AT&T after the $300+ charge hit my account for a late return, once the tracking updated, they credited that charge, and then I ended up getting the phone BACK a month or so later saying it came in too late for them to accept it and they considered the matter closed. I called customer service and they verified that it was mine to keep, so I sold it.
Not expecting it to be that lucky/fluke-y this year, but I did order from AT&T instead of Apple for for the express purpose of hopefully getting a box/label to send my old phone back when the new one arrives. Let's hope I don't end up regretting the choice.