Definitely do not close the claim until you receive the item. I've read on this board about many buyers that have closed a claim in that situation and they never do receive their item or a refund. I find it unlikely that 2 items sent at different times would both get 'lost' in the mail so I suspect that those sellers did not send the original item or the replacement.
You do only have a certain amount of time to escalate the claim though so if you don't have the item, make sure that you escalate it before that date otherwise ebay or paypal will close it.
You also have the option of asking the seller for a refund now and explain that you will pay him again once the item has been received. If the seller won't do that, you also have the option of escalating the claim now and as long as there is no tracking showing that you received the item, ebay will rule in your favor.
If the seller is in Canada or the U.S. I would probably be willing to wait a little while for the item but if they are overseas then chances are that you will not receive the item that was sent out again in time for you to close the claim and get a refund