The only extra heat I feel is at a stand still, and it comes from the exhaust log. I don't think an oil cooler would help there.
The only oil cooler I've seen on a Rocket was on a Japanese site, where they had the oil cooler mounted where the horn cover is on the fork legs, with braided lines going somewhere. I assume the went to an adapter behind the oil filter, like you stated.
While anything is possible, I can't imagine trying to connect to the return line to the oil tank.