Can you take it back and get a real sub?

Yes.
also try hifishark.

1. use the best source you can, whether it is analog based (turntable/arm/cartridge) or digital, invest in a really good DAC
2. get a really good amplifier, preamp and power amp, not some cheap AV receiver - Ill cop flak for that, but there is no way an AV receiver can compare to a high end preamp, Krell, ARC, Klyne, ML.
3. Get bigger and better speakers, small bookshelf size even with a sub can only do so much.
4. set your speakers up properly, not 1m apart, not in a corner, not facing different directions.
5. turn the lights off and enjoy

Try moving the speakers, make sure they arent facing open windows and away from doors - all you can do is minimise the acoustic leakage from the room.