Ugh! Read the FAQ:

If you've lost a disc sleeve, please do the following to make sure you get credit for returning the game:

Write your first name, last name, and e-mail login on a sheet of paper, along with the title of the game you're returning.
Wrap the disc in the paper and slip it into its mailing envelope.
Mail the game back to GameFly as usual. Once we receive the game, we will create a new sleeve and then return the game against your account. Therefore, it will take more time to process your return.

If you've lost the pre-paid mailing envelope, please request one by going to Report A Shipping Problem. Once there, select I lost the game's sleeve or mailer and identify the specific game you need a return envelope for. We will be more than happy to send you another one. If you would like to return the game right away, you can use your own padded envelope and send the game to:

GF
P.O. Box 149362
Austin, Texas 78714-9362