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?
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.