I've been doing it for about 20 years now with custom index cards I make up. Started out just sending to people who I knew would sign, but then began to focus on the 4 main collections I've got:
Olympic Gold Medal winners - just over 1000 returns (from 33 different countries)
Super Bowl/NFL/AFL Championship teams - almost 900 different guys
Hockey Hall of Fame members - 112 successes
College Football Hall of Fame members - over 400 successes
I've mostly gotten them for free, but will occasionally pay a fee or throw in a few bucks for guys who don't always sign. I agree that it's harder and harder to find people who'll sign without a fee, but that's one of the reasons I try to keep up with my Olympic collection. After all, it's a lot easier to get those Swedish curlers to sign than it is to try to convince a recent Super Bowl winner to do it without sending $$. LOL!