The UK Border Agency actually has a section on this - http://www.ukba.homeoffice.gov.uk/worki ... gevidence/ with specific sections. Hopefully this answers some questions. Best of luck!

 

According to information at the link I sent:

"If you are in the United Kingdom, your documents will be returned to you by post to the address you provide on your application. If a representative makes an application on your behalf your documents will be returned to him/her. Your documents will be returned using recorded delivery. If you want your documents to be returned by special delivery, you should provide a prepaid special delivery envelope. You can also arrange for your documents to be collected by courier at your own cost. If you would like to arrange a courier, put a courier request in writing by fax to 0114 207 5862.

If you are outside the United Kingdom, your documents will be returned in the same way you sent them to us. For example, if you took them to a visa application centre, the visa application centre will return them to you."