people usually ship their belongings by sea or air(ocean freight is cheaper and slower, but I'm not sure by how much with Costa Rica being so near) with a company like DHL, I've used them and found them to be a reliable international shipping company, FedEx and UPS are also options.

I wouldn't worry about customs taking your stuff, especially if you have insurance or tracking or anything like that on the ticket, and especially with a wealthier country like Costa Rica where paper trails are more important.

I've actually never heard of customs taking anything legal in real life from anyone who's shipped belongings overseas(my friend's yak jerky got confiscated because it's illegal to import a lot of international meat products into the US) so I personally don't believe customs pocketing things is very common.

Legos aren't apparently valuable on their face and with the paper trail of receipts/documents I wouldn't think you have to worry about anything getting lifted by customs. plus, if you add some fragile notices and insurance on there the agents responsible for transporting the packages will be a lot more careful, for sure.