You should check witrh your local building codes. Most buyilding codes will not allow penetrations from the main resudence to your garage. THe garage has been determined to be the place where many fires start. So special construction is used between your garage and the rest of your dwelling. Penetrating with a supply run is not especially dangerous other than the fire hazard. Some cities will allow you to use a fire damper to close off the openig in case of fire but putting a return run in is VERY dangerous. In our County a family of foru was killed when the home owner left the car running in the garage. He got up to go to work on third shift while the rest of his family was sleep. THe car was not in the garage put parked in front of the garaage with the engine running. The furnace was running. It pulled the CO into the house via the return air.
If I were you I would use a small hanging unit heater.