Once you have got in touch with a potential penpal, you exchange postal addresses and already are able to exchange handwritten letters through the postal service! You send yours but it does not arrive... a lost letter? Yes, it is possible, but... have you ever thought about a mistake in the postal address?
Sometimes, either your penpal or yourself might write some data in the postal address which is wrong: the name of the street, the number of the house/flat, the postal code... Those mistakes are enough to prevent a letter to arrive to its destination.
If you are in touch with your penpal through e-mail/social networks, ask her/him to send the postal address again if you cannot understand the handwritten address on the envelope after his/her letter arrived. If you have exchanged addresses through e-mail and still you have problems to understand the postal address because of whatever reason (abbreviations, unknown symbols...) kindly ask your new penpal to tell you what does each word mean. This way you make sure not to mistake when posting a letter to him/her.
Some countries don't use the Latin alphabet, but a different one, so we have the Cyrillic alphabet, Greek alphabet, Thai script, Vietnamese writing system, Hangul/Chosongul - native alphabets of the Korean language, used in South Korea and North Korea, respectively, Japanese writing system, Chinese characters... Even if in most countries the Latin alphabet can be read, it would be useful if you can add the postal address written in the alphabet used in that country. I have noticed it is of help in China, for example, where mail reaches the addressee faster if you use their characters.
Don't forget about postal codes. If you don't have received it with your letter, ask about it again. Maybe there are some countries which don't use postal codes, yet, but usually, a postal code is a must for a letter to arrive together with the name of the country! The postal code is crutial for letters which are going to be sent, and this information together with the name of the country are very important when letters are being processed to be delivered in each national postal service.
So, before posting a letter to your penpal make sure the address is correctly written and there are no mistakes! Of course, you cannot know sometimes. Recently I had a lost postcard because the recipient mistoke a number in the postal code... So, yes, mistakes happen but you can avoid them at the second try if you are careful enough to check the postal address once more!
If you are looking for advice on penpalling check: "Tips on letter writing".