What would you do if you received a package in the mail and opened it, but it wasn't for you?

I was expecting a package, so I didn’t even look to see who it was addressed to, so I opened it. Would you take it to the person’s house and stick it in the mailbox without an explanation or knock on the door and tell them that you accidently opened it? Normally, this wouldn’t be a quandary for me, but it was a bra and a thong, so it kind of makes me uncomfortable.