You would think that. A friend of mine has heard many stories of people who go to the embassy/visa office instead of sending in their passport and they are in and out within an hour everything ready to go. For some people this isn't an option though because the cost of travel can be so high.
My husband is from Costa Rica and his application will be processed in Mexico, there's no way he would travel all the way to mexico to do it in person. If there was the option to go to the embassy in Costa Rica we would definitely do that though. When the time comes I will be making a phone call to see about our options. Kind of nervous about mailing the passport. lol
You should actually make a phone call maybe just to clear your mind. I would be paranoid about it, but that's just how I am. lol