The DPD driver brings everything you need. A jiffy bag for the phone and gives you a receipt for the phone (which should have the claim number on). Have you had any communication from O2 (you must have, as you know the driver is coming tomorrow? Claim no. is usually on that. Make sure you take plenty of photos of the phone. Front, back and on and off. Also write down the IMEI and keep it safe. I'm presuming you are returning one phone and having a replacement?
The one thing you don't want is O2 making false statements about the state of the phone you are returning.
Veritas Numquam Perit
You need the claim number to identify your phone.
You should include a slip of paper with your name, address and claim number on it to be packaged with the phone.
Check your email spam folder as it is emailed to the address O2 have on file for you.
Please do contact O2 again as you will need it to identify your phone when it arrives back with the insurances company.