There is no “right” way. It really depends on the context.
You can internally handle memory with a smart pointer and externally give references or raw pointers. After all, the user of your interface doesn’t need to know how you manage memory internally. In a synchronous context this is safe and efficient. In an asynchronous context, there are many pitfalls.
If you’re unsure about what to do you can safely return smart pointers to your caller. The object will be deallocated when the references count reaches zero. Just make sure that you don’t have a class that keeps smart pointers of objects for ever thus preventing the deallocation when needed.
As a last note, in C++ don’t overuse dynamically allocated objects. There are many cases where you don’t need a pointer and can work on references and const references. That’s safer and reduces the pressure on the memory allocator.