Its not technically your neighbours fault that the driver chooses to bother you, though a sign saying don't bother the neighbours might help, its no guarantee.
If you want to stop getting hassled, a little sticker on your window/door would solve it. No, perhaps you shouldn't have to technically but its not really a biggie.
I used to have quite a few things that really could have gone through my letterbox being delivered to neighbours (you don't always know when someone is going to use Recorded for instance) and one neighbour in particular took several items in a period of a few weeks so I put a card and some choccies through her door to say thanks and I think gestures like that can go a long way to smooth things over.
On the flipside its now me who is often home and I take plenty of parcels in at Xmas and I really don't mind so its swings and roundabouts.
I can understand the irritation if you are working from home - in which case you probably have a "no cold callers" sign anyway, add another sticker? I found I was a real sitting duck for cold callers when I became a non-worker and that bothered me a great deal more. Somehow they always ended up knocking when I was draining pasta or trying to bath a baby, and my children got to an age where they would go and fling the door open and if I locked it they would hang off it and it wasn't terribly feasible to simply ignore them.
I like being neighbourly though - doesn't mean you should feel obliged to.