Honestly I would not spend any time, effort, or money trying to retrain people who stop by and physically put cards for you in your parents' mailbox. They know you don't live there, they have been given your address, they are deliberately choosing not to use it. I think I'd start telling my parents that they can throw things like that away. Or, if they wish, let it sit in a drawer unopened and getting dusty until you see them 6 months later. I mean really, do you absolutely need these Christmas cards? Just ignore them. Then if someone asks you can honestly say you didn't get a Christmas card, because you didn't.
There is no way I'd be going out of my way to send them more and more and more reminders of where I live. They already know that you don't live with your parents, and they don't care and can't be bothered to put something in the actual mail. Just ignore their correspondence.