Where is the item coming from? Living in the United States, every once in a while it seems to take an order from Canada about a month to reach me. It's not common, but it happens.
As far as action, I would always contact the seller before opening a case. Just a simple "Hey, I haven't received this item yet and was hoping you might be able to give me a status update." While my experiences with this situation are few, the seller has always been eager to fix the situation.