You've either missed my point, or ignored it.
Had you selected immediate payment, you wouldn't be in this predicament.
By allowing people to choose their method of payment you are forfeiting any right to demand how fast a payment is made, because if a person chooses a cheque, you have to wait for it to arrive, and then for your bank to process it.
I realise that this person hasn't attempted to send any payment, but the point remains, had you choosen 'require immediate payment' you wouldn't be moaning like you are now. The point that you only have yourself to blame also holds true as you can only blame yourself for not reading the auction options before listing the item. Unless someone else listed it on your behalf, in which case you can blame them.