I'm a fan of Chesky's stuff.
The last order I placed with them directly was back in January. I don't recall it taking an unusualy long amount of time. Then again, I can't remember exactly how long it did take. My guess is that it took about a week or ten days.
I found the email confirmation in my email archives, but I didn't get a tracking number at the time so I can't tell you how long it took to get the CD's.
The past couple of orders of Chesky stuff has been via Amazon, simply because it always seems that there's something else I need from Amazon.
Have you tried emailing Chesky directly?