I am no expert but this is how I set up and use my Naza GPS on my quadcopter and hexacopter for the home lock and return home features.
Hopefully you can uderstand the basics on how to use home lock and (failsafe) return home on your Naza GPS.
You basically have to invoke a failsafe issue when you select RTH on your transmitter. This may have to be done with mixes depending on your transmitter.