Try a variation of this letter, just edit it to fit something not arriving (as opposed to a missing item in a package). I stole this from a really smart poster about a year ago.
"If they're not there, the package must have been tampered with. I can file a claim. As you may or may not be aware, because I use the USPS to ship, any intent to defraud a customer and claim any insurance is considered a federal offense. I'm going to send you a claim form from the USPS which requires you to sign an affidavit verifying that you did not receive the item. This is to protect me and allow me to claim my insurance costs. In the meantime, I'll pull my videotape [I video tape all packages in case I need to file a claim] to ensure I did not pack it.] Can you send me the mailing address you'd like me to send the form to?"