All you have to is add the proper header. I don't know if any of the mail modules support that directly, but almost allow you to add a header. Personally I find return receipts rude and unnecessary, but I understand that some people like them.

IIRC, the correct header is:

Return-receipt-to: you@example.com
[download]

Update: Found a good blurb about it:
http://www.uvm.edu/~ashawley/pine/faq/sending.html.
Worth a read, before implementing something like this.