We had this situation come up in a game last night, and we think we stumbled upon the right answer, but we're not sure.
So, Player A's Commander (Sliver Overlord) was stolen by Player B using a Zealous Conscripts. Player B also had a Conjurer's Closest in play. At the end of the turn Player B decided to use the Conjurer's Closet on the Sliver Overlord, with the idea that after it was 'blinked', it would permanently be under her control.
But then we remembered that Player A can choose to have their Commander return to the Command Zone when it would be exiled or go to the graveyard, so that trick wouldn't work. (Player B ended up using it anyway, as Player A couldn't recast his general at that point.)
Did we play this out correctly?