Wow, my biggest fear as our phones aren't cheap! I always send my phones back with a large sticky label stuck to the back of the phone showing my name, account number, cell number, phone model, and esn. I stick that in a small padded envelope, sealed, with a duplicate labe on it. I stick that in a box and mail it out. Never had a problem.
But I hope they find your phone. Did they charge you for it, or you just tried to follow up and they said they have nothing yet?