I haven't received mine as of yet either, but a lot of the SP's sent them just last week. I do think that it is wise to put your return address on the package. They will find out in the note you send anyway, right?
A few years ago, my family members did a secret sister gift exchange at Christmas time. My niece had my name and mixed up the zip numbers. She didn't put a return address on the package and it was lost in the mail. She only lived a town away. Both of our hearts were broken as she described the gift she had sent and how hard it was to find.