What happens to attachments if a unit is returned to a players hand? For instance, let's say it's a Tau unit with one of Shadowsun's Stealth Cadre and a DE Suffering attachment. Do both attachments go to their respective discard piles, or to their respective hands?

From the RRG entry on attachments:

"If the card to which an attachment is attached leaves play, discard the attachment."

So unless the specific return-to-hand effect says otherwise, the attachments are lost/discarded.

The rules talk about leaving play... Not returning to hand.. So I would assume they would go with the primary card to your hand?

the hand is considered "out of play".. "returning to hand" is going "out of play"

The rules talk about leaving play... Not returning to hand.. So I would assume they would go with the primary card to your hand?

Incorrect. Your hand is out of play also.