If you didn't have to sign for it and it isn't in an ebay branded click & send satchel then I wouldn't say anything to them. If it had been damaged when they received it they would obviously have said so.

When they email asking where their refund is just tell them that you have not received back the item you sold them (which is absolutely true) If they open a Paypal dispute they will not get anywhere as they will not be able to prove they sent it. Once a dispute is finalised in your favour or they don't open one and it gets past the 45 day limit I would just tell them that the parcel has arrived back with you and if they want it back they should pay $xx for the postage or you will resell it and if there is anything left over after you ave taken all your costs and the original price plus postage into account you will send them a payment.

make sure you add them to your blocked bidder list.