I'm only up to 500 and something, so I've still got 400 and something to go before one gets lost then!! I always put a return address and like you, have never had one returned. I use a fair bit of tape on parcels, and as tempting as it is to just write on it with permanent marker, I write on paper, then tape over the whole thing. Even if the parcel gets wet, the address should be safe.

I did have one a few weeks ago that was weighing on my kitchen scales as 495g (they seem to match my PO's scales) and I hadn't put the address paper or associated tape on it. To play it safe, I just wrote on the tape. When I handed it over the counter the lady started scratching it with her nail and pointed out that even permanent marker will rub off. I explained why I did it and she reached into her drawer and pulled out an address label, addressed it and stuck it on. It weighed in at 497g. 

She said I should have taped over it but I didn't want to push it over the limit by 1 or 2 g. I hate to think what may have happened if she hadn't pulled me up on it, especially as there were 8 items in there! I think it helps being a regular and always being pleasant to them.