I would wait a little bit and then send them an email saying the item never arrived (got lost in the mail). I know it's dishonest but stuff 'em, if they can't pack an item properly, they can send you another one for free, or if they have none left, give you a refund.
They can't track it so they have to give you the benefit of the doubt. Just don't do it too often otherwise they'll get a bit sus.