Thank you for the welcome :) I get just as nervous messaging people online for the first time as I would approaching them in real life. Well, maybe a little less. There's less blushing certainly! :)

According to the fansite the address to send things to is:

Stephen Colbert
c/o The Colbert Report
Comedy Central
513 West 54th Street
New York, NY 10019

They also have an address for Stephen's Manager and one for his Publicist: http://www.colbertnewshub.com/site-faq/