What do you do after you return the blue orb in sapphire?

It depends on where you are in the game. If you return it right after catching or defeating Kyogre, then you can go beat Wallace at Sootopolis and go to the Pokemon League to try and beat the Elite Four. If you return it after beating the Elite Four and the champion, you can catch Rayquaza and find Latias wandering around the region. You can also go to the Battle Tower. However, returning the orb isn't required for doing any of these things, so if you return it after all of these, there's really not much you can do besides train, fill out your Pokedex, rebattle the Elite Four and champion, and go to the Battle Tower.