You don't have to if you have all the paper work and you are an American citizen. "Flagpole", that is drive to the nearest border and bring all your supporting documents, plus the $150.00 and get your WP from there. But if you live far from the border then by all means mail your application.
I am in Canada visiting, being told by all sources to mail in App to Buffalo, they send me a letter and from there I go to the border.