You are right, the hose with the crimped on connectors will be the high press hose. The fluid flows from the pump through the high press hose to the steering gearbox and then returns to the resevoir through the low press return hose.
As for cooler and filter I`ve never fitted either, however the fluid press. from the pump in the high press. line could be around 1000-1500psi so I would think you would need to fit both in the return line.
Just my opinion.