that same thing happened to me a few days ago. I got the package and there are supposed to be illustrated instructions, but they weren't in the box. I called the number, but they didn't offer much help, so I just did it myself.
*there should be a plastic sleeve in the box. Put the ipod in the sleeve and seal it.
*there should be 2 pieces of egg crate foam surrounding 1 rectangular piece of foam. The rectangular piece has a smaller rectangle cut out of the middle of it. Take that piece out (the smaller rectangular piece), and put your ipod in its place.
* Put one egg crate in the bottom of the box with the ridges facing up
* put the flat piece on top of that, with the ipod in the middle cutout.
*put the other egg crate on top of that with the ridges facing down.
*close the box
**there should be something in the box that looks like a piece of tape. Its actually a bunch of pre-cut pieces of packaging tape. Take these pieces off one by one, and seal every seam on the box.
***once that is done, take a look at the shipping label. There are 2 labels, one on top of the other one. (the top one is your address, the bottom one is the address for apple). CAREFULLY take off the top label, and leave the bottom one on.
****Finally, drop the whole thing off at a DHL facility.
I did this the other day, and had no problems whatsoever. It arrived at apple the same day i sent it, it was replaced and shipped out the next day, and the morning of the third day i had a brand new ipod sitting on my doorstep (i live in Louisiana, so it had a long way to go). My original ipod had a short or something in the headphone jack, and they still replaced it no questions asked (despite all of the dents, scratches, and chips in my ipod). I had it for almost a year, and just made it before the warranty ran out. Seriously, one of the best customer service experiences I've had (despite the apple call center being somewhat clueless).