If I decide I no longer want to send my old iphone for a trade in, do I need to return the box I am about to receive?

No, don't return the box.

Also see the following from Apple Trade In - Apple

Can I cancel a trade-in?

If you haven’t dropped off or shipped your device, you can cancel your trade-in by simply keeping your device.

If you’ve already sent us your device, the trade-in can’t be cancelled. If you receive a revised trade-in value after the inspection of your device which is lower than your originally quoted value, you can then choose to reject it.