I am going to bump this over to TS for you.
Italy has restrictions on toys and it if they are not wholly made of wood they are not allowed. But in that being said as long as you do not write "toy" on the customs form you should be good. I usually write "Horse Figure" or "Collectable Item". I have shipped there many times with no issues.
But it is known that Italian customs is about one of the worst. So if you want to absolutely try and protect yourself of a packing going missing, I suggest shipping Global Express as it is going to be the only way you are covered by Paypal and Ebay.
Also if you are uncomfortable in shipping to their period, I would just tell your buyer something to the effect of "I'm sorry, but due to customs laws I am unable to ship items to Italy." The law is the law, and people living there are probably already aware of it.