Thanks to everyone who has posted to this thread so far. Great suggestions abound!
I adopted a pair of chinchillas this week (sisters from the same litter, six months old), and I love them! I have had similar issues to all of you with regards to petting them, and getting them to go back to their cage when playtime is finished. They just want to continue running around my room, chewing on things and hiding. So far I have used their dust bath as a lure - when they go to take a bath, I cover the entrance to the bath house with my hand and bring them back to the cage. Clearly they don't like this, however, as they are starting to become skeptical about taking a bath. I will discontinue this tactic.
My concern so far with getting them back to their cage is that they stay away from it during their free time. My bedroom is rather large, and they'd much rather run under the bed, run around or hide somewhere. I could move their playtime to my bathroom, although getting them to/from the bathroom doesn't seem possible without using the bath house trick. There's no way they trust me enough yet to let me pick them up and carry them between rooms. Any suggestions?