It depends.
If you purchased a package, your tickets will be on your room key and, of course, you'll pick those up when you check in.
If you purchased them from Disney and they were purchased separate from your room reservation, then it could be two things. Did you tell them you wanted to do "will call"? If so, then your tickets will be available at your resort when you check in. If you purchased them and didn't say you wanted "will call", then they should have been mailed to you.
If you purchased them from someone other than Disney, then I don't know 'cause I never purchase them from anyone but Disney.