Seconded. Mr. S and I sent an admiring letter to an author along with a copy of her book and a stamped return envelope, and a few weeks later got our book back with a lovely whimsical inscription and a very sweet and charming letter that is now framed and hanging in our living room, over the inscribed book on its special easel. 
We sent it in care of her agent. You’re a lovely lady, Jean Merrill!
As they sign, be sure to say “Wow, as soon as you’re dead, that sucker’s goin’ right on eBay.”
They love that sort of thing.
When I went to the pTerry signing at the San Jose B&N, they were supposed to have a Q&A, but it was so crowded he only signed. I bought the book (Monstrous Regiment) not having gotten it yet, but it didn’t seem to be required.
Cons are a good place to get autographs. I got Isaac Asimov to sign a Galaxy with “The Martian Way” in it, with his name spelled wrong. He was still pissed at Horace Gold.