Whatever you do, don't pay by personal check. You have to mail it to them, then they hold whetever you bought until it clears, usually for 7 to 10 days, then they mail the package to you. Of all the ways to pay, that takes the longest before you get what you bought.
I usually pay by postal or bank money order if they accept them, so the clear time is eliminated. Paypal or Billpoint are even faster. Once the money gets there and is clear, UPS Ground usually takes from 2 to 6 days. So, all in all, I'd get worried if the package hasn't come by 1 1/2 to 2 weeks after you send the payment.
What I usually do is ask the seller to send me an E-mail when he has recieved the payment, and another with the tracking number when he sends the package. That way, you can keep tabs on the transaction from start to finish with a minimum of hassle.
If he's gotten the payment other than a check, and the package isn't shipped in the next two or three days, there may be a problem with the seller.