How long did you give them to pay, and what type of payment methods did you accept?
You don't want to act too soon, as for even if it's not your fault they are going to leave you negative feedback too.
This is why i only take paypal, there is no "lost in the mail" and their is definitive proof that they sent payment.
I give everyone 3 days to paypal, but i stretch it to about a week. I also let them know, that i have never left anyone any negative feedback and i don't want to.