Sort of. If you don't pick up the check on Friday or in the next few days, then yes, it will come in the mail. But you can also pick the check up.
If you have direct deposit (which I encourage, as I got screwed one week), then you will receive a stub saying how much you were paid, and that can either be picked up or you can let it come in the mail.
I have direct deposit and get my pay check a day earlier than everyone else. Otherwise, people who do not have direct deposit at our location gets a check in their box every other Friday.
Mine is direct deposited - when I work (I'm PRN). The pay stubs live in a drawer in the entrance hall at base... and they will sit there for 4 weeks or more.