Hi Duncan,
We get a lot of this aggravation!
If item is to the uk and under £20 we send 2nd class and ALWAYS get a proof of posting slip as this is the only way that Royal Mail will entertain any kind of claim for loss or damage.
Over £20 always send Signed For, (cover to £50), this then gets a tracking number.
When customer says it has not arrived we ask them politely to check for undelivered mail at their local PO or sorting office. This often solves the problem.
If not we ask them to wait a week or so and get back to us before they open a case with EBay.
all this at least gives you the sender an audit trail for a claim on R Mail. They usually cough up in a week or so.
surprisingly we have found that about 30% of people refunded DO contact us when an item eventually arrives.
Cheers, Martin