If you have a good deal from a US source that doesn't ship to Canada, the cost is unreasonable, or is UPS/Fedex only here's some posts I found about having items shipped to Ogdensburg near Cornwall for pick-up.
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Just have the package shipped to the address below with your name on it somewhere so it can be identified.
Call in advance to see if the package has arrived before going to pick it up.
Charges are $5US per box/package (not sure on how billing is done, it would be a good idea to bring cash).
Contact info:
C/O Roethel Parcel Service
1801 Ford St.
Ogdensburg
New York
13669
(315)-393-4770
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For many years, the only option was in Ogdensburg was Roethel Parcel Service. However, they weren’t open on weekends. More recently, members have been using the UPS Store in Ogdensburg. It is located in the shopping mall closest to the border crossing. The UPS store is open Saturdays, which is generally much more convenient. Here are their open hours:
Weekdays: 8:00am-6:00pm
Saturday: 10:00am-4:00pm
When placing your order, have it addressed for delivery as follows:
Your name
Your phone number
c/o The UPS Store
2981 Ford Street Extension
Gateway Shopping Center
Route 37
Ogdensburg, NY 13669
If the vendor does not ship to P.O. boxes, you can just give the address as follows, this way it looks like a private residence:
Your Name
2981 Ford Street Extension
Ogdensburg, NY 13669
The UPS Store will usually call you once the package arrives. However, it may be prudent to ship your parcel via registered mail or courier, so that you can track it’s progress via telephone or the Internet and then call UPS once it has arrived. The UPS Store phone number is: (315) 393-1188. Their current charge is $5 U.S. per parcel and it will cost you $2 U.S. or $2.50 Canadian each way to cross the bridge to the United States. Make sure you have proper ID (passports are strongly recommended these days). Remember, you will be asked if you have anything to declare when you return through Canadian Customs and that means paying both GST and provincial taxes on the value of the goods received.