I am adding a supply duct to a room on the first floor of my home that does not get enough heat. The HVAC contractor suggested installing the return grill near the floor and using the wall cavity (an interior wall) as the return duct which he could connect to a duct near the ceiling and run back to the furnace. Is this an acceptable way to do the work or should the wall be opened so that a proper sheet metal duct can be installed? My concerns are 1) is this efficient and 2) will using the wall cavity to move air in some way effect the air quality in my home. Thanks for any assistance.

This is a very common method of returning air back to a furnace. Just remember that you must block off the wall cavity above the return grill with a wood block or metal pan and no wires can be running in this cavity. But using the wall material as the duct is OK.

I think there may be speaker wires running through the walls. What problem would that present?

Speaker wires pose no issue. Its Line voltage wires that you need to be worried about.