I had sent a drum head to be signed to the Pittsburgh show last September which my son and I attended. I never received anything back.
I tested my luck again with the Cleveland show last month, and sent in separate mailings of a Moving Pictures album cover, and another drum head with a note that it was for my 11-year old son.
After six weeks, didn't see hide nor hair of either. My wife called me at work last Friday to say that an envelope came in the mail addressed to my son, with our address as both the "to" and "from". Inside was a personalized and autographed drum head. Very cool that they would take the time to do that!
Today at my office, I received a large return envelope with my album cover, again personalized and autographed. Too cool (X2). Thanks a million guys!
The reason they do personalize the items is to discourage reselling on ebay.
As has been said before, they don't have to do this. So very cool that they care enough about the fans (even 11-year old kids) that they would take a few extra minutes each show to do this.