So :
* small company where everyone takes care of (his own) deliveries: OK.
* smallish company company where there is a receptionist: OK because it does not happen too often.
* middle-sized company: not OK.
* large company with a dedicated mail/parcel/delivery service: I guess it depends on formal work agreements.
Room 40 was a bench behind the warehouse reception.
Of course, there are potential pitfalls here - say, assuming your colleagues to be honest, for instance - but to the best of my knowledge, we never lost a parcel in years. (Which is more than could be said for anything entering the murky depths of our ERP system...)
I have found ordering from B&M's via their websites and picking the thing up at the store bypasses this whole problem.
And anyway you may not want everyone to know what you are buying.