In a previous life as an RAF QFI we were required to carry out practice turnbacks at least once a month.
Turnbacks most certainly shouldn't be the first choice of action, unless there is no other safe option.
We used to pre-brief every departure regarding actions in the event of engine failure. We considered landing into wind as the first option, unless this wasn't safe (i.e. congested area ahead, or unsuitable for other reasons, wind velocity, altitude already gained?).
So, turnbacks do need practice until the actual flying technique becomes second nature (notice I said second...) and due consideration/pre-briefed "in the event of"...
From the point of personal preservation, the idea is to risk assess whether it's better to attempt a downwind, or partially downwind landing near the fire engine, or possibly a better landing away from it...