Is it ethical..?

So what to do now??? Shall I be honest and send it back and tell them about their fault??? Shall I return one of them and pretend I just want to return everything, keep the second mistaken delivery and be happy to have saved a couple of quid? Or would that be theft?

It all depends on how you feel about the company. Personally, I would be inclined to accept the benefit of someone's mistake if it isn't going to seriously affect their business. However, I would be strongly disinclined to be actively greedy and dishonest and take the second option. That is just plain wrong. Besides there is the risk that if you send one back they may realise their mistake and your attempt to defraud them and in theory they could take action against you. A rather ignominious way to get a criminal record if they were feeling a bit TfL.

I think on a technical legal level at the moment you are theoretically guilty of theft. You are aware that you have received good from a company for which you haven't paid and it is entirely within your capacity to notify them of this mistake. If you then try to obtain a refund for one set of those goods you are then guilty of fraud.

My advice would be to keep one set of the goods in pristine condition for a period of at least three month in case they ask for them back or elect to charge you for them at a later date (they are still entitled to do this). At this point you can still at least claim a legitimate refund. Should they get heavy handed you can at least claim that you intended to let them know and were just lazy and procrastinating.

Anecdotally, when a budget airline bent my girlfriends bike, they accidentally paid out the claim twice. My girlfriend resisted the impulse to go on a spending spree (spending all the cash is never a defence to not repay the overpayment) and chucked in the ISA. If they ever asked for the cash back, at least she got the interest. They never asked for it back and a year later we took a free holiday (no budget airlines involved this time).