Are you talking about the box it was shipped to u in, like the usps box or what not? In that case I would say no just use the smallest box you can fit the bag in and ship it. But if you are talking about like a storage/gift box that goes with the bag like a chanel or a hermes box then I would say yes you should ship it back with the bag just so the seller wont be able to say you kept any part of the item and try to file any kind of counter claim etc..
thanks everyone! i did send it back today- should be there tomorrow. it is the link that was posted - i reported her to the fed gov't, bonanzle, google accounts, and usps. thanks for everyone's help- it is so nice to have this forum!