The return hose is the one that feeds into the reservoir and has a simple hose clamp over a rubber hose that slips over a nipple. The pressure hose has a more complex fitting like an AC hose. Don't worry, you can't release the pressure hose with a screwdriver. Not in a W126 300SE anyway.

Turning the steering wheel will not circulate the fluid. The pump has to be running for fluid to circulate.

Look up the price of a filter and decide if it's worth saving. I think it's the same part number for the older (<86) systems that use ATF so it shouldn't be a problem.

Sixto
95 S420
87 300SDL