Yes, stealing mail is a felony, but that doesn't mean it doesn't happen.
Protect yourself with a drop-box-style personal mailbox that's big enough to accept gadget-sized packages. The Oasis Collection from Architectural Mailboxes is designed for exactly this scenario.
The Oasis Collection offers security and extra capacity for residential, commercial municipal applications in a clean contemporary design. An oversized delivery slot allows for delivery of small parcels and mail bundles while the Patented Parcel Delivery Door keeps items secure until the box is unlocked.
They're available at a bunch of chain home retailers, so you should be able to find one in your area. Check out Architectural Mailbox's "Where to Buy" page for more info.