I used to request autographs via the celebrity fanmail site (address below).
http://www.fanmail.biz/

Sometimes I got a HAND WRITTEN autograph back, sometimes I didn't. It all depends on who you request as to if they will reply or not. I haven't tried the TB cast yet, but I know for a fact that Anna dosen't respond herself to her fans, her agent sends "carbon copies" back so they are not authentic.

However, I don't think its appropriate to ask if you can go to the set, since they run very tight security policies and its not even up to the actors whether people can watch them shoot or not. So I would definitely leave that part out if you want an autograph back.