It would seem like an efficient use of time (say on an airplane) but I agree with Piranha316, and would guess that very few would consider lugging fan mail around with them.

I'm guessing that very few, if any, baseball players bring fanmail with them on the road, though I'm sure there a some who do. I don't know how much sense it would make for them to bring fanmail with them.

Do MLB players sometimes take their mail on road trips and sign it? I sent a letter to Justin Masterson and live 40 minutes away from Progressive Field and ive seen successfor himthe past day but havent received mine. the indians have been on a 9 game national leauge road trip