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It's really up to you. The photos should be good just the way they are, but you can always put a thin peice of stiff cardboard in there to keep them from getting bent if you like. Just remember to write a note on it requesting that the celeb put it back in the SASE.
Ewan McGregor (not a surprise. got everything sent back with a note from his agent saying that he is unable to sign due to his demanding schedule. it was worth a try.)
{thumb2} Jeremy Bulloch (signed 1 of the 3 cards I sent him, and added a handwritten and signed note saying that to be fair to everyone who writes him, because he have very little time, he only signs 1 item per person.)