On Base Autos has a wonderful article about getting autographs through the mail. I tried this when I was younger and all I got back was a nice 1990 Leaf card of Shawn Boskie. I still have it on my desk. Yes, he's in a Cubs uniform. So what. He sent back an autographed card, so he's cool in my book.
Upon looking for an appropriate signed White Sox card, I found this site. Waiting For The Mail Man chronicles the pursuit of autographs through the mail. The Buehrle was posted by someone named Bryan, who got a turn around in less than a month! This was after Mark's no-hitter. Very cool!
The best advice I can follow for autographs through the mail, don't be greedy, send a SASE, and take the time to write a nice hand written letter. It shows that you care more about the player than just his autograph. Don't get discouraged. Some players have more things to do besides answering your mail. Give them enough time and they should send it back.
I think I may just try reaching Harold Baines for an autograph. You never know. I might just get something back.