I order mine from people on here (classifieds), roachshop.co.uk & internetreptile.co.uk (the roach farm).
All of mine have come in parcels that are far too big for the letter box.
I would suggest that you ask a neighbor to look out for them. Or phone the sorting office and tell them you will be getting a delivery of live insects & ask them to leave them some where safe. That or get them delivered to work