I've had to RMA quite a few things over the past couple of years ( a few with NewEgg) and I always go the route of overdoing the packaging and insure it for the cost.
An example. I RMA'ed a Celeron 1.2GHz processor a few weeks back to NewEgg and put it in the original OEM plastic box, wrapped it with bubblewrap and then put it in a 4"x4"x2" box and insured it for $100. I do this just to be safe - I've had some nightmares with both FedEX and UPS in shipping computers

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Also, clearly mark the RMA number on the outside of the box AND on the inside package as well.
You are correct in saying NewEgg has excellent customer service - I've always been satisfied

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Mike