My passport and my daughter's were mailed to Ft Erie, and then couriered to Buffalo because we are in Canada. They give you specific instructions in the letter you receive about how to submit if you're in Canada, or if you're in the States. The Canada specific instructions told exactly what type of Canada Post envelopes to use so that you can track the mailing, and you include another of those envelopes WITH your passports so you can track the delivery back from Ft Erie. The passports are couriered back and forth over the border by CIC. I was nervous, too, but I figured if I had proof they had received them, and then they lost them, it was on their heads - not mine. I was more worried I'd leave the country to submit them in person and they'd find some little detail amiss and refuse to issue the COPR, and then we'd be stuck. After everything we went through getting to that point, I was a bit paranoid and felt a lot safer staying here with hubby in Canada. (Besides, he doesn't have his passport yet and couldn't have gone with us to Buffalo. so that was a huge issue for us, too)
Our passports were received in Ft Erie on Dec 15, and the visas were issued (I'm assuming in Buffalo) on Dec 31. They were back to us on January 5th, no problems. It was the only part of our process that was fast. In fact, it was so fast once it got back into Canada that I'd forgotten to check the online tracking for just one day, and didn't even see that they were on the way. We came home the next day and there was notification in the mailbox to pick them up at the post office! We went straight away to get them - and then traveled to the border to "land" on January 31. ;D Best day ever!