The Postal Services Act 2000 does not allow you to delay someone else's post:
84 Interfering with the mail: general.
(1) A person commits an offence if, without reasonable excuse, he—
(a) intentionally delays or opens a postal packet in the course of its transmission by post ...
Section 125(3)(a) defines "transmission by post":
a postal packet shall be taken to be in course of transmission by post from the time of its being delivered to any post office or post office letter box to the time of its being delivered to the addressee ...
In the case of a postal item put through your letterbox, it has not yet been delivered to the addressee, merely to an address.
You have an obligation not to delay the mail, so you can't simply put it in a safe place. You certainly can't cause its destruction (because that delays the mail permanently: it will never be delivered).
The best thing to do is to follow Royal Mail's advice:
If you’ve received mail which has your address, but not your name, this is because we deliver to addresses rather than names. If this does happen, you can put a cross through the address and write 'Not known at this address' or 'No longer lives here' and put it back in a letterbox. Where possible, we’ll return the item to the sender hopefully allowing them to update their records
That way, you have done everything you can not to delay its delivery, and you have alerted the sender that their records need updating.