that varies with each company. The ones that don't return usually say so in their site. I have found that some will (reluctantly). I find that trying on panties in the store (to get the right size and fit with each manufacturer) is best. Then you can order with confidence online. Sears and JC Penney will allow you to try on nylon panties (over your own), At least the salesladies were willing to help me (a guy) do so.
It would depend on the company. Look up their return and exchange policy and you will be able to tell what you should do.