I was worried about the same too.Especially, since i live in India and it go thru the customs officials. The post office guys too have a reputation of opening parcels recd from overseas to check what's in it.
Thankfully, it went smoothly.The package was recd by my cousin when i was at work.he and my bro had both handled the pacakage and till today they have had no clue what was in it. There was nothing on the cover which even remotely suggested that it was a HP. I think there was a note from BA marked to Customs"Pls respect the privacy of the Hairpiece'. So, nothing to worry about