In regard to the yo-yo not returning - the first thing you want to do is adjust the gap and make it tighter - the tighter it is the more responsive you can make it:
http://yoyoexpert.com/learn/408-maintenance-adjusting-gaps.html
The Dark Magic is a string trick yo-yo built to be play unresponsive when the bearing is clean - they ship with a clean bearing so if you are still working on a good strong throw it can be difficult to return to the hand.
A couple of drops of YoYoJam thick lube on the bearing will slow down the bearing making it easier to return to your hand:
http://yoyoexpert.com/learn/410-maintenance-lube.html
http://yoyoexpert.com/product/yoyojam/thick-lube
The other thing you can use is a very very small dab of vaseline if you happen to have some already - just don't use a lot as this stuff really gunks up the bearing - if you do apply it just do it as seen in the maintenance video linked above.
The other thing you can do is add an extra twist around the bearing - so when you go to put the string on just add an extra twist and loop that string around the bearing - doubling this up can help the yo-yo grab the string easier.
If you are working on string tricks people actually learn what is called a "bind" return to get the yo-yo back to your hand - its actually a better way to play and will help you learn faster once you got it down. Here are some videos about unresponsive play and the bind return:
http://yoyoexpert.com/learn/029-intermediate-unresponsive.html
http://yoyoexpert.com/learn/030-intermediate-bind-returns.html