A conscientious seller will always include a Return Address and, more importantly, a Packing Slip. The latter is done especially so that the receiver knows from whom the package came. So let's ponder that for a moment. If your packages are coming virtually anonymously, it's either because the shipper is a totally different person or entity than the seller, or the seller/shipper wishes to distance themselves from the transaction.
You can try to ask your sellers specifically to include a packing slip on subsequent purchases, but if you're making purchases from sellers like those I am describing above, it probably will do no good.