I would ask for the tracking number too. never know, maybe they mixed up the address, my insurance co did with my settlement check, sent it to 3600 when it should have been 3006, easy mistake, and I waited too lond to call so it still isn't here, but will likely be today.
depending on what company it is, and if you have ordered stuff from them before without issue, I would think that I would give them more of a chance than an unknown supplier. like with Stan at Northridge, never had an issue with him at all, he has bent over backwards to help me out, so if something happened to be missing, I would give it a bit of time and just stay in contact and get up dates.
but this does not really sound like that and has been a while, so I would say ask for the number and the address it was sent to.
my 2 cents.
good luck
steve