I returned my 2006 sign-on bonus in 2007. Do I need to amend my 2006 tax return?

Check with your employer. Normally the bonus you received in 2006 is shown on your W2 for 2006, and is reported as income in 2006.
Bonus amount returned in 2007, should reflect on your W2 for 2007. You it should reduce your 2007 income.

Agreed; the returned bonus SHOULD be debited against your 2007 income.