And if you do choose to pick up (which I find easier) instead of having the tickets sent out, there are usually machines (may be called FastTicket or something similarly obvious!) at your starting station - thus Bristol - where you put in your reservation number (so make sure you have it with you) and the credit/debit card you booked it with (so make sure you have that too) and it prints your ticket for you.
Depending on when you want to book the tickets for, try megatrain for cheaper tickets - you get a reservation number to bring with you, as its a ticketless system. Ive travelled bristol to london for £5.50 for 2 of us and bristol to exeter for 2.50 each way!
Personally I'd get the tickets sent to you instead of collecting them from the machine. I've arrived on the day of travel to collect a ticket from one of those machines, but the machine was broken, and the queues for buying a ticket the usual way were so long I missed the train. If you do decide to get them from the machine I'd arrive very early or pick them up the previous day if you live nearby.