From my experience with Mails, he signed with that moniker and was widely known by that nickname during the early to mid 1930's. Right about that same time he was included in the Pebble Beach Clothiers postcard set and has been seen signed with that nickname...
http://catalog.scpauctions.com/bids/...e?itemid=40594
All that being said, he was using that nickname for himself as early as 1924 as his set of game cards (WG7) uses that name on the front of the box... "Great Mails Baseball Game"