Why not put you name as ur first name and a common last name for the return address...he would never know the difference anyways. Example Ryan white or John jones...that way if somehow it does go to the wrong person no problem. Plus it's
Mr Craig f
C/o fake theatre
Address,
Blah blah. U get what I mean anyways that's what I always put

make sure it gets there before the date of the show.
also put:

Please hold for _________ until (put the date of the show)

i usually put it on the bottom of the envelope or on the back

One time I e-mailed a venue asking if they would pass on fanmail, and they said that when they receive letters they give them to the artist's manager, who then decides what to do with it. So I doubt anyone you know would get hold of your letter--although I guess there's always a possibility.

As for the address:

Craig Ferguson
c/o Venue Name
Venue Address

My girlfriend is a huge fan of Craig Ferguson and I was wondering if it would be a good idea to send a letter to him via venue. the possible problem with it is My girlfriend and I work at said venue and I dont know if an office worker will read it first or whatever. You might be asking yourself "well you work at the venue why dont you just go there and ask him in person?" Well the answer is simple, I will get fired if I talk to or ask a celebrity for an autograph.

Also How would I address the envelope?

Like this
Venue
C/O Craig Ferguson
1540 west bloomingdale RD
Lansing MI, ----- (fake address)