This all happened in 2003. Over the years, I've always scanned auctions and posted scans in various places just in case the book surfaced.
It never really occurred to me to file a police report for something that I willingly shipped to someone. I can't imagine the local police getting involved in something like this. I had all my documentation through Paypal and I did file a report with the Postal Service if I recall correctly.
In retrospect, I probably should have just to have a paper trail as you suggest. Now, all I have are my emails with Paypal and letters from the NYS AG, etc.
Have you called the police to ask them how long you are allowed to file a police report? How about the USPS for mail fraud?
I could be remembering these facts wrong:
Statute of Limitations In NY:
For felonies with known suspect 5 years
Felonies of unknown suspect 10 years
If the comic was mailed to a different state it makes it a federal crime (postal fraud). Statute of Limitations on postal fraud is five years.
But... whatever state it went to may have a different law.
I know that virginia has no statute of limitations of robberies of any amount (I had a friend that got picked up 10yrs after the fact)
Best bet is to get with some sort of legal aid and see if there is anything that could still be done.