I don't have the time for such hijinks with direct mail, but if you do send back the business reply envelopes, it's costing the direct mailer a minimum of $0.47 per piece (more if you fill it up with sheets of paper etc. and raise the weight above 1 oz.).
If you write "no longer at this address" on the piece and put it back in your mailbox, one of 2 things is going to happen, assuming it's been mailed at Standard/Bulk Mail Rates: (1) if they've stamped "address correction requested" on the envelope, they'll get it back and be charged $0.70, or (2) if they haven't put such an endorsement on the piece, the USPS will throw it away. But the real problem with doing this is you're going to confuse your mail carrier & local post office. And most direct mailers don't bother with address corrections, 'cause they're probably buying your name from a list broker like Expedian, and letting them handle all the list management.
Don't ask me how I know about this bullshit.