You can write to the Disney Characters at the same basic addressed used for all Disney mail. Just address your letter to the specific character:
Mickey Mouse (or whoever ... )
Walt Disney World
PO Box 10,000
Lake Buena Vista, FL 32830
If a specific request is made for an autographed photo or a response, you will get it. How long it takes will depend on when you write (obviously, times like Christmas and Valentines Day have HUGE letter loads) and which character you write to. (Mickey gets a lot of mail. Smee, not so much!

)
Responses generally won't come to the room for guest check-in -- they are sent to the home of the person who wrote. It's just easier to track things that way. I think that you CAN request a "note from Mickey" to be waiting in your room, but it will be a generic welcome note as opposed to a personal response to a letter already received.
If you want something specific -- a birthday note with a signed photo, for example -- remember again about the volume of mail the characters get, and send your request with enough lead time. But don't promise your child or husband or girlfriend that they'll be receiving a "very special wish from Disney" -- on the off chance that it doesn't make it on time, it will save the disappointment.
But every letter that comes to a Disney character requesting an answer DOES eventually get answered!
