I would definitely tell them. But then I don't like keeping anything that I haven't paid for under any circumstances. I think if you be up front about it you'll probably find they will offer for you to keep them. I would also let them know because it sounds like the package was lost, which is completely out of their control. So they could follow it up with their postal service. I don't think they did the wrong thing, I think it was just one of those things that was out of their control.

I think in situations like this we seem to have lost common courtesy, and people often jump the gun and get angry when things don't turn up instead of being polite first KWIM?
100% agreed with this post.