I have not done it before. You could possibly set up a box in their name at a UPS store and then retrieve it for them. You can open and fax anything that they would need immediately and then mail the rest to them. I guess it would depend on the particular clients needs and what is received.
I would recommend that they either set up a temporary forwarding address to a desired location. The last thing you want is your office becoming theirs! Another option is if they have a local PO Box, you can pick up the mail or they can arrange to have that sent to you. Lastly, like Dawn said a UPS store if a great option also. I use one for my business.
I haven't been asked to handle mail for clients and am not really sure how I'd approach the issue - I agree with Doreen's suggestion of setting up a PO Box or Dawn's idea of a UPS box...as long as it was an independent address (not my own). I wouldn't want to have to go pick it up either though so there would have to be a courier or forward?
I certainly would set up a PO Box if I end up with a client requesting that kind of service.
I could use UPS Store which is also a great idea, but in my area, the Post Office is much closer - especially considering the gas price these days. If I am expected to pick them up from the Post Office, I would consider including the gas price into the client's service fee.