Please see your local post office and they can get you pointed in the right direction. This helps track responses, which we usually share with each other here in the online world. I currently have out over 60 requests at any given time, so it helps me to keep track very easily of date sent, date returned, item returned, etc. Many celebrities are just too busy to individually sign each photo, but they want their fans to have something, so you'll get a pre-print. Celebrities can also be a fickle lot, signing one week, not signing the next.
Some celebrities just refuse to sign.
Join or visit as many resources on the Internet as you can, since the more you know, the better informed you'll be when it comes to deciding whom to write to. So, there you have it. A quick primer on how to get started in autograph collecting by mail.