A DHC-8 FLT CREW DEPARTS GATE WITHOUT THE WX AND THEN RETURNS FOR IT.

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MY FLT CREW RPTED AT XA15 FOR AN XB00 DEP. OPS TOLD ME WX WOULD NOT BE AVAILABLE UNTIL XA30; SO WE PROCEEDED TO BOARD WITH 1 COPY OF RELEASE. PREFLT AND BEFORE START WERE NORMAL. WE ASKED OPS VIA RADIO FOR WX AND RELEASE AT XA45 AND THEY SAID THE GATE AGENT WOULD BRING IT OUT. GATE AGENT BROUGHT OUT LOAD MANIFEST AND THE FO PREPARED WT AND BAL FORM AND GAVE IT TO FLT ATTENDANT ALONG WITH A COPY OF THE RELEASE (SIGNED BY ME IN ANTICIPATION OF RECEIVING THE WX). DOOR WAS SHUT; ENGS STARTED AND I SPUN THE ACFT AROUND FOR TAXI. AT THIS POINT WE REALIZED THE WX HAD NOT BEEN RECEIVED NOR WAS THE SECOND COPY OF RELEASE. WE SPUN BACK AROUND AND PARKED. ENG #1 WAS SHUT DOWN; DOOR WAS REOPENED AND PAPERWORK BROUGHT ON BOARD. I REVIEWED THE WX AND SIGNED RELEASE COPY #2 (KEPT ON PLANE FOR OUR USE). WE RESTARTED #1 ENG AND TAXIED FOR DEP. FLT WAS UNEVENTFUL. THE MAIN LESSON FOR ME WAS TO NOT SIGN RELEASE UNTIL ALL WX IS RECEIVED AND REVIEWED. ANTICIPATING THAT IT WILL BE RECEIVED SHOULD NOT BE ACCEPTABLE. ON-TIME DEPS ARE IMPORTANT; BUT ONLY IF THE WX IS KNOWN AND GOOD TO GO.