If you buy returns then will avail of 20% discount so worth buying both sectors. If you find that you would like to return earlier then go to the station and ask for a replacement. Make a note of the train times. If you are not bothered with a saving then yes go to the station and take the next train. I believe but have not monitored this that trains may be busier at weekends so for example returning on Sunday evening could be busier.
I would try to return to Madrid around 7-8 pm. Book tickets ahead of time because the trains will be full.
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