I see two effective options for you.
1) if you want to catch the person, set up some kind of camera watching your mailbox and record the thief in action.
2) if you just want this to be over, I would suggest getting a P.O. box at your local post office. I have one and I like using it a lot. It's especially convenient because if you move (within the town), you don't have to go to all the trouble of changing your mailing address.
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