This is no longer true in many cases - When you get to the point where you will be scheduling your interview with the embassy, most embassies will have you register with a website that they use to gather your beneficiary's info, pay the visa fee and schedule the interview. At that time you will also give them the address where you want the passport with the visa in it delivered. For Jaycel's interview in Manila, we actually selected the option to pick up her passport at the courier's office in the Mall of Asia there in Manila.