We had some things delivered from the US to the Caribbean - former British territories - a few years ago so I don't know if this will help. Goods arriving with the correct paperwork (in triplicate if I remember correctly) and the shipper having clearly labeling the package "Goods for Yacht in Transit" may have helped the deliveries go smoothly. Some places on the cruising 'routes' may be more familiar with the system than others. In one case, we used an 'agent' that made sure it went right for a reasonable fee. It's the purchaser's responsibility to ensure that such goods would be allowed in tax free so using an agent is often worthwhile. You'll have to present your passport, ship's papers and a formal declaration that the yacht is in transit before the goods are released.
If you have a registered company trading in another country and are VAT registered, you can also request VAT free delivery.
Or you can sail to Gibraltar. :-)
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Vice Commodore, OCC