Jack Smalling's address list and eventually his book. Prior to that care of teams, The Hall of Fame, Detective work through the white pages etc. The close knit group of collectors would then share the information with each other as it became available.
If you go WAY back the 1933 "Whos Who In Baseball" listed HOME addresses of most of the active players and had a section in the back for "Old Timers" and listed their home addresses as well
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jim@stinsonsports.com