If it's a neighbor, I'll walk it to their house, but most of my neighbors aren't home during the day, so I'll just put it in their mailbox.
Yesterday I got mail for the previous owner that lived here 11 years ago and it looked really important. Her husband died 3 years ago, so I couldn't email him, and searched for her on Facebook and found her. I messaged her and now I'm waiting for her to respond, but since we aren't Facebook friends, it goes off into that little unknown area where people don't check. I told her if I don't hear from her by mid-August that I'll mark on the envelope to have it returned and that the person moved.