Although only businesses who do "substantial business" in Texas are required to collect sales tax (sometimes I order off the net and a company does and another doesn't), it is the law to pay the tax yourself to Austin. Now how many do it is another matter... but there is actually a form you fill out (1-56 Use Tax) and send the money to Austin:
SUBCHAPTER D. IMPOSITION AND COLLECTION OF USE TAX
Sec. 151.101. USE TAX IMPOSED. (a) A tax is imposed on the storage, use, or other consumption in this state of a taxable item purchased from a retailer for storage, use, or other consumption in this state.
(b) The tax is at the same percentage rate as is provided by Section 151.051 of this code on the sales price of the taxable item.
Acts 1981, 67th Leg., p. 1552, ch. 389, Sec. 1, eff. Jan. 1, 1982.
Sec. 151.102. USER LIABLE FOR TAX. (a) The person storing, using, or consuming a taxable item in this state is liable for the tax imposed by Section 151.101 of this code, and except as provided by Subsection (b) of this section, the liability continues until the tax is paid to the state.
(b) A person storing, using, or consuming a taxable item in this state is not further liable for the tax imposed by Section 151.101 of this code if the person pays the tax to a retailer engaged in business in this state or other person authorized by the comptroller to collect the tax and receives from the retailer or other person a purchaser's receipt given as provided in Section 151.103 of this code.
http://www.statutes.legis.state.tx.us/Docs/TX/htm/TX.151.htm