I have ordered many zillion HeatTech items from Uniqlo over the years. (Because they only do in-store and online -- i.e., no catalogue or phone orders, isn't it funny how they use the same color name for all the shades of an item? Like they may offer the same tee in cobalt, navy, powder blue, and teal, and each one will just be called "BLUE", and you click on the shade you want. Wouldn't really work if you were calling up on the phone, right?)
Anyway, as to customer service, they do take returns in the stores, but of course you may not be near a location. It used to be that there were two Uniqlo locations in the states, and they were both in Manhattan. Now they're getting to be in every mall.
Tricky returns policy on certain items, such as HeatTechs. If you open the packaging, you can't return HeatTech, but of course you can't try it on without opening the packaging, so...