The way it's done on most servers is now through a plugin, but to create the script, you would have it recall your current room number (ROOMID) using that with the GOTOROOM and WHOTARGET PRIVATEMSG. I doubt it would be very hard to put together, it could even be a cyborg script rather than server.

here is the one I use it is part of my gate scripting but could be done on its own

ON SIGNON {
; return (rapid exit and return to same room, available in all rooms)
returnToRm GLOBAL returnRm GLOBAL
{
{ roomID returnRm = 1002 GoToRoom } ChatStr "return" == IF
;change the 1002 to the room number of your return room
} returnToRm Def
}

this part being in the room globals

ON OUTCHAT {
returnToRm GLOBAL returnRm GLOBAL returnToRm EXEC
}