The first stage isn't going at orbital velocity of course, but the second stage is. The SpaceX announcement for Grasshopper refers to both:

http://www.space.com/13140-spacex-private-reusable-rocket-el...

I'm sure they'll start with just the first stage, but you can't just do a powered descent - that would leave it in the middle of the Atlantic ocean. It has to be a return-to-launch-site maneuver and landing, which is what you see in the video linked to above. At the point where the vehicle does a 180-degree turn (referred to as a "death swoop" by rlv enthusiasts), it's going Mach 6 and is 1000 miles downrange. That's hard.