You must return all wedding gifts (including any given for wedding-related events, such as showers or engagement parties). Include a short note announcing that the engagement has been called off, but still make sure to thank them for the thoughtfulness of the gift. This note doesn't need to have any details about the reasons for the cancelled engagement, and shouldn't be more than a few sentences.
Postage will be costly. If the relationship with your ex is amicable enough, make sure to include shipping costs in a list of joint costs that must be split between the two of you.