Online orders usually have a cooling-off period, but cancelling and sending the item back are separate steps.
The useful answer
For most online goods, you normally have 14 days from the day after delivery to tell the seller you are cancelling, then another 14 days to return the item. Keep the order email, packaging and proof of postage.
Before ordering
Check who pays return postage, whether the return address is in the UK, and whether sale items use the same policy. Your legal rights are separate from any longer return window offered by the shop.
Watch out for
Personalised, perishable and some opened sealed hygiene goods can be exempt from the usual cooling-off rules. Faulty goods are covered by a separate set of consumer rights.