There's no single answer to this, as different hotels have different policies.
In general most hotels will be happy to store mail and small packages for you for a short time. Most will ask that you mark that fact you're a guest as a part of the address, and I've had at least 2 hotels that requested that my arrival date also be listed as a part of the address.
Some hotels will charge you a fee for this service, especially if what you're receiving is anything more than just a standard letter.
Normally the item will be held for you at the front desk/concierge (often with a note on your booking so that they know it's there when you check-in), although at some hotels they will store it in the "Business Center" which can cause issues if you're planning to arrive outside of the business centers hours.
The best plan is to either email or call the hotel in advance to confirm their local policies - I've never had a hotel not respond to such an email with the relevant details, plus you end up with a record of what they told you in case there's any problems later on (such as one hotel where I was told there was no charge, but then they tried to charge me when I got there!)