Scott,
One would think that Amtrak would always mail the tickets within a few days of purchase. Generally that does seem to be the case, but I have seen incidents where they didn't mail them right away.
A good friend of mine from the forums here, Superliner Diner, once had to jump through hoops to get a set of tickets for his trip. He was riding several different trains over the course of a week. Amtrak mailed him all of the tickets, but since they were all different reservations, they were mailed separately.
He got all but one set in time for his departure. The final set however, Amtrak took its time to process and mail, thinking that they had plenty of time for him to get the tickets. However since he was leaving home almost a week before the day he needed those tickets, they arrived after he left home.
When he called Amtrak, their response was, well you’ve still got plenty of time to receive them. So he had to buy new tickets in the station and then get a refund on the mailed set when he got home.
So the bottom line is that I would be careful about having them mailed to a US address, unless you can get to that address to pick them up in person. Yes the tickets may well arrive in time for them to be forwarded to you, but I wouldn't want to guarantee it.
As far as mailing to a foreign address, you can't do it via on-line bookings. Perhaps calling and speaking to a live agent, arrangements could be made, but I've never tried so I'm not sure.
So that may well leave you with no choice but to pick up at the station. As long as the tickets are paid for via credit card and you've got your reservation number, you should have no trouble picking them up at Penn. You could even use the QuikTrack machines, instead of standing in line at the ticket windows.
You just swipe the credit card that you used to buy the tickets in the machine, select prepaid tickets, and it will print them out for you. It couldn't be easier. In fact I rarely ever stand in a ticket line, much less have my tickets mailed. I just hit the machine as it's quick and easy.
In fact Amtrak even has an on-line demo of how to use the machines, that you can find
here.