What to do if a buyer has not received my packages?

[shoppingpenstar]

I sent 2 small boxes within my state & the buyer claims he hasn't received them. We have a receipt to prove we mailed the items but it was not tracked or requiring a signature (did not think of it)& we wrote our return add. on the back, do I have to give the buyer a refund? How do I know the buyer is being honest? can someone please advise me 😞