I'm sorry this happened. Always keep your printed receipts when shipping. What I do is staple the shipping receipt on to the Etsy sale receipt (one page print out) and keep it in a file.
That way, if there is ever an issue, you have all your documentation in one place. If you ship through Etsy shipping, they keep a tracking number attached to your order. If you ship through paypal, you will have a linked number attached to the transaction that way.
If you physically go to the post office, keep that receipt and attach it to a copy of the sale, that way you can stay organized. It really helps when things go wrong or if you ever get really busy with multiple orders, you can keep yourself sane by keeping track of everything.
Everyone has their own system but I highly recommend having something in place for issues that can arise. Packages get delayed or lost all the time, or even items can arrive broken. I had that happen once, it was a pain but having everything organized helped get me through it.
I hope you are able to find your package. Hopefully it was just delayed or is in the process of return. In the mean time, try to find that receipt if you can. Because if the item does not get to the customer and you have no way of knowing where it is, you are responsible for sending out a new item to them to ensure they receive what they purchased. Good luck! :)