Mine all go to a family member. However I don't have them all in hand when I do my taxes online. You need the company tax code and correct name and address. I just count up my bank deposits and that's my income
Places like Mail Boxes Etc. have an collection address in Texas, and you can get your mail sent there, from which it will be forwarded to your box at Mail Boxes etc., or a similar service.
I've used these services for years and nothing was lost.......except for CD movies delivered to that place in Texas, where they mysteriously disappeared. I finally gave up on that method of getting entertainment. I did get all my tax stuff, and the Social Security Admin believes I live in a tiny box in Laredo. However, direct deposit in a U.S. bank is best for receiving the actual money.
Your W2 will go to the same address it did last year; the address you used when you filed your tax returns. If you submitted a change of address card with the USPS, that is where it will go if it is a USA address. Sometimes, the USPS will not forward to private mail forwarding addresses showing as a PMB, etc.
We get all the information we need to file income tax returns via the computer here in Mexico. We simply print out the forms when they become available. For years now, since 2002, we have successulñy filed our income tax returns without any "snail mail" delivered forms at all. Not one, ever.
As for social security, we simply add up their beneifits on line and that´s that. We neither expect nor receive any mail from them oetherwise.