SF Planet through Rakuten.com Took my money and product was never received Internet

I ordered a pair of running headphones on March 25th.  I was staying away for work for a month and put the right street address and zip but the wrong city.  I contacted the customer service department within 30 minutes of placing my order and again the next day.  I didn't hear from them until after the product had shipped.  They said the package should get to me because it had the right zip.  

I waited.  A few weeks later, no package.  I contacted them.  They said DHL said the package had been received.  They said to return the package once I get it.  A month passed since ordering, nothing.  They said they'd contact DHL.  Weeks passed by again, no communication from them whatsoever.  They said that I needed to file a claim with DHL.  So I do through SF Planet.  It's the middle of May.  They said the claim should be processed in 3-4 weeks.  I hear nothing for over six weeks.  I contacted them recently and they say that they are waiting for the initial package, mailed out in early April, to be returned.  

I feel like they have stolen my money and are just trying to send me through loop holes to keep my $133.  Which is crazy because although it's a lot for me, it's nothing for them.