We've recently added support for attaching insurance to your shipments. Just check the box from the shipping labels quote screen and enter an amount:
Once you've done that, if something happens to the package you can file a claim by clicking the menu option for the label on your Shipping page:
The fee is $0.01 for every $1 insured, with a minimum insured value of $100. So, for example, to insure a package for up to $250 you'd pay $2.50.