a look at the best quality (dual filter) Schaffner mains filters as an example

Let me try again
verbage:
gnd: ground plane on PCB
Ground: e.g. a copper rod hammered into the ground
3rd wire: the 'ground' coming in the power outlet
return: 'ground wire' from sensors and such

..NEVER filter between gnd and gnd.
..A filter between 3rd wire and gnd can sometimes be beneficial.
..Returns should be kept away from gnd if they are connected to ground or 3rd wire by opto-isolation or such.
..Ground and gnd should be connected directly.
..Connecting return to ground or 3rd wire (directly or through a filter) can lead to a fire or other disastrous results.
.. whether gnd is connected to ground or 3rd wire or floating is application dependent. Often it will be necessary.

Erik