Sorry - I've got a cage fitted, not because they steal the post, but because they go ballistic if the postie touches the door and one of them grabs the post out of anger that he has missed the postman's fingers, but I have now put a box up outside as mine bark when the letter box flaps, and sealed the letter box so no-one can put leaflets, free papers etc through, as we get them delivered at all times of the day and night. Sure oyu could teach them, but beware of the aversion therapy (making aloud noise or dropping something when something comes through the letterbox), as you could make the dog nervous of visitors or jumpy when the postie comes. You have to really think things like
this through, as you could end up with a worse behaviour that was not there before.