When should I use the new keyword in C++?

I started today solving some linked lists questions. After finishing some LeetCode problems, I went to HackerRank. I immediately stopped at Insert a node at the tail of a linked list and spent one hour debugging why this does not work:

Node* Insert(Node *head,int data)
{
    Node node;
    node.data = data;
    node.next = nullptr;

    if (head == nullptr) {
        return &node;
    }

    Node* p = head;
    while (p->next != nullptr)
        p = p->next;
    p->next = &node;
    return head;
}

I guess I didn’t RTFM:

Method 2 (not using new): Memory is no longer allocated when it goes out of scope. (i.e. you shouldn’t return a pointer to an object on the stack)