You can try having a local attorney send them a demand letter explaining what you want and giving a deadline. If they don't respond by that deadline then there is only one thing you can do and that is to file a lawsuit.
You can file a lawsuit for up to $10k in Justice Court and up to $3500 in the Small Claims Division. However, if you want to sue in one of the higher courts using a lawyer then you can sue for the return of your property by asking for a "Turnover Order". The small claims court system doesn't do Turnover Orders.
If you decide you want to use a lawyer then you can do so and you can recover your attorney's fees as well. While you are allowed to represent yourself, if the company you worked for is a corporation then they will be required to use a lawyer and you will seriously want to consider using one because if you don't then your odds of winning are dramatically reduced.
Since you will be the one suing, the burden of proof in the lawsuit will be on you.
The process of a lawsuit is essentially the same everywhere, with a few, minor procedural differences.
A lawsuit generally follows this process:
1) File the petition in the court with jurisdiction and venue. The court with jurisdiction and venue is usually where the defendant resides or has their place of business. You also have to look at the amount you intend to sue for to determine what court is correct
2) When you file the petition with the clerk of courts you will pay the filing fee and also ask for citation to be issued and service to be done. The clerk doesn't serve the papers so ask them if you have to take them to the sheriff's office for service or if they will do it. Just follow their directions as to that.
3) The sheriff will serve the defendant with the lawsuit.
4) The defendant will file their answer.
5) You can then do some discovery if necessary but you will need to check with the clerk and ask if your court allows discovery. Some small claims courts do not.
6) After that the next step is to set the case for trial.
7) During the trial you introduce your evidence and they introduce theirs.
8) The judge renders a judgment and a written order is entered.
That is the basic process of a lawsuit.
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