As already suggested I always write 'Not known at this address' on the envelope and put them back in the post.
However, I would suggest that if warning letters keep turning up from the same company, even though you've returned them previously, you should contact the company in question and explain the situation to them.
My sister kept sending letters back for previous occupants of her house and eventually the bailiffs turned up. Don't worry, it was all sorted amicably and they accepted proof of her identity, but it was a nuisance at the time.