Just get the cheapest, smallest size post office box. At my post office, they put a little key inside the box when you have a parcel, and then you open up a big locker with the key to retrieve your package. Or, at worst, you can go to the front desk and get the package. (It is a plain white box, so no worries about “Penimaster” being emblazoned across the box.)
Just buy the $20 box, save some money, and don’t worry about getting embarrassed, because it won’t happen. I know, because this is exactly what I did about a month and a half ago.