My policy is very much like Moya's. In the case of American states I'll almost invariably write them out in full, and will pick a long thin envelope if somebody is inconsiderate enough to live in Massachusetts rather than abbreviate it. "United States of America" too, rather than USA - I usually write that a bit smaller but with wider spacing, the thinking being that if it's going to be long and strung out anyway, might as well exaggerate it.
UK postcodes were devised by Sir Giles Audley*, a man with a very organised mind ("Audley by name, and orderly by nature" was the joke) and an irrational hatred of copperplate and writers thereof. He was a lifelong friend of Alfred Fairbank, which may explain a lot. Whilst his invention certainly revolutionised Post Office sorting, it is thought by some that his main motivation was to throw a spanner in the works for people with curly, slanted handwriting. The only policy which works for me is to admit defeat and use plain capitals with a rakish slope.
* I made him up, obviously. Any resemblance to persons living or otherwise is entirely coincidental.