If you refuse to return it, that could be considered theft or conversion, depending on the law in your state. The bottom line is it belongs to the company and it needs to be returned. In its demand for the return of the laptop, did the company state how it would like the laptop returned (physical delivery by you, shipping, etc...)? Regardless of what method is used to return the laptop, make sure there is some record of receipt (tracking number, signed acknowledgment by person you deliver it to).
You could always take someone with you to return it so you have a witness. I would not delay returning it as this could be a bigger problem than it's worth. Send the company another email asking them to provide secure shipping and see what they say. If there is no response, I would mail it or physically return it to them and get a receipt for the delivery of the laptop. Good luck.