Honestly I think it depends on the situation. Personally I use both, and I decide based on which one will make the code more clear and easy to read.
If you have heavily nested if statements (or any other control structure) and it may get confusing, then I would return inside the statements
Don't worry too much about what is 'best practice' in this case, as it is more important that the code is clear and easy to understand. Use what feels right for the situation.