They use 1st class airmail - as the discs are sent from HK. Delivery is usually 2/3 days after you get the despatch email - The longest i have ever waited was 6 days.
The last DVD I received from Play came very efficiently packed in specially designed rigid cardboard container. Have Play been reading threads like this one?
Play have definitely improved their packaging, they now use the same style cardboard wraps as amazon.
I've yet to sample Play's new style packaging. Seeing as I mainly buy from Play when they have a tasty R2 sale on, as everyone else seems to undercut them on everything else, I'm probably unlikely to sample it for a while yet.