If you have filed your return manually, you are required to approach your Assessing Officer (AO) and request him in writing to send the refund cheque to your new address. Please mention all relevant details in the application. To find out your AO, please visit: http://incometaxindia.gov.in/ao/loc_state.asp and select your location from where you had applied for your PAN Card.
If you have done e-filing and the refund cheque got returned due to in-correct address, please call on 1800 425 2229, Centralized Processing Center, Bangalore. They will assist you in changing the address.
While filing a return, we recommend taking add-ons like "Return Processing Status", "Refund Status" so that you remain updated for the status of return filed from your login of myITreturn.com itself.