You could start by asking them why their company is not listed at companies house:
http://wck2.companieshouse.gov.uk

I thought the point of escrow was that the money is held independently of either party, so I would not be keen on sending it to the company making the delivery. I expect they are legit, but certainly be cautious..

Perhaps ask for a previous customers contact details who is willing to vouch for them.. not that this can't be scammed also!
Good Luck!
Oliver S.

Oliver S.