I realise that his destinations to the Americans varied with each of his four voyages but I haven’t been able to find where precislely he caught the westerlies on each return home to Spain.
At different points for the four voyages; see this map (SVG image file from Wikipedia). For the first voyage, it would be pretty far north, about the latitude of the Azores.
But note that the exact route that Columbus took is not undisputed (which has led to the “landfall problem”, i.e. the controversy about the identity of Guanahani, the island of the first landfall). Columbus himself intentionally obfuscated things; for instance, he kept two logs, an intentionally fake one in which he underreported distances so as not to arouse unrest among his crew, and a personal one with accurate numbers. Also, the length of the units of distances used by him is not known precisely.
Thanks Schnitte.